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中国管理科学

中国管理科学 ›› 2005, Vol. ›› Issue (1): 9-13.

• 论文 • 上一篇    下一篇

带机会约束的动态投资决策模型研究

彭大衡1, 姚元端2   

  1. 1. 复旦大学太平洋金融学院, 上海, 201300;
    2. 湖南大学数学与计量经济学院, 长沙, 410079
  • 收稿日期:2004-06-11 修回日期:2005-01-18 出版日期:2005-02-28 发布日期:2012-03-07
  • 基金资助:
    国家自然科学基金资助项目(A0324627)

Research on a Dynamic Investment Decision Model with Constraint of Investment Chance

PENG Da-heng1, YAO Yuan-duan2   

  1. 1. College of Pacific Finance, Fudan University, Shanghai 201300, China;
    2. College of Mathematics and Econometrics, Hunan University, Changsha 410079, China
  • Received:2004-06-11 Revised:2005-01-18 Online:2005-02-28 Published:2012-03-07

PDF (PC)

1931

被引次数

77

摘要： 本文在BlackScholes型市场中,建立了具有投资机会约束的CaR动态投资决策模型: ,其中x是初始财富,π(t)=(π1(t),…,πd(t))′∈Rd为可行的证券组合过程,Xπ(T)为计划期末的财富水平,CaR(x,π,T)为投资期末的在险资本,R是投资者事先给定的某正的财富水平,0<β<1通过对该模型的讨论,得到了最优常数再调整策略的显式表达式,其金融学含义包括:对于机会约束下的动态投资组合,在风险中性市场中,最优的常数再调整投资策略是纯债券投资策略,最优的在险资本值为零;在风险非中性市场中,最优的常数再调整投资策略蕴涵了共同基金定理的成立。

关键词: 在险资本, 机会约束, 动态投资组合, 常数再调整策略

Abstract: In Black-Scholes type financial markets,the CaR dynamic portfolio decision model with constraint of investment chance is established as following: , where x is the initial wealth,P(t=(P1(t),,,Pd(t)c I Rd is the process of feasible portfolio,XP(T)is the terminal wealth, R is a positive wealth level given by investor and 0<β<1.The explicit solutions for this model are obtained in terms of the optimal constant rebalance strategy.The financial interpretations of the results include that,for portfolio decision with constraint of investment chance,the optimal constant rebalance strategy is pure bond investment strategy and the optimal Capital-at-Risk is zero in neutral risk markets,and the optimal constant rebalance strategy implies the mutual fund theorem in non-neutral risk markets.

Key words: Capital-at-Risk(CaR), constraint of investment chance, dynamic portfolio, constant rebalance strategy

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