引入方差/波动率资产的动态最优投资组合  

Dynamic optimal portfolio allocation with variance/volatility assets

作　　者：周春阳[1] 吴冲锋[1] ZHOU Chun-yang;WU Chong-feng(Antai College of Economics and Management,Shanghai Jiaotong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《管理科学学报》2023年第1期105-115,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71771144);国家自然科学基金资助重大项目(71790592)。

摘　　要：本文在构建投资组合时,除了包含传统的股票资产和无风险资产,还引入方差/波动率资产.给出了动态最优投资组合的显式解,发现方差/波动率资产价格是影响投资组合权重的重要状态变量.方差/波动率资产价格反映了市场的波动程度,股票资产以及方差/波动率资产的最优权重都会随着方差/波动率资产价格的增加而降低.基于美国市场的实证研究表明,组合中加入VIX期货有助于分散组合风险和提高组合样本外绩效,而组合中不包含VIX期货会导致投资者遭受一定的经济成本.This paper assumes that investors can invest in variance/volatility assets besides traditional stocks and risk-free assets.The paper gives an explicit solution to the dynamic optimal portfolio problem and finds that the price of the variance/volatility assets is an important state variable that can affect the portfolio weights.Specifically,the optimal weights of stocks and variance/volatility assets will decrease with the price of the variance/volatility assets.Our empirical research based on the U.S.market shows that adding VIX futures to the stock portfolio helps to diversify the portfolio risk and improve the out-of-sample performance.Meanwhile,the exclusion of volatility assets in the portfolio will cause the investors to suffer economic costs.

关 键 词：动态投资组合 方差/波动率资产 经济成本 

分 类 号：F830[经济管理—金融学]