基于贝叶斯学习的动态投资组合选择

doi:10.16381/j.cnki.issn1003-207x.2017.08.005

中国管理科学 ›› 2017, Vol. 25 ›› Issue (8): 39-45.doi: 10.16381/j.cnki.issn1003-207x.2017.08.005

基于贝叶斯学习的动态投资组合选择

郭文英

首都经济贸易大学统计学院, 北京 1000070

收稿日期:2015-10-13 修回日期:2016-11-21 出版日期:2017-08-20 发布日期:2017-10-16
通讯作者: 郭文英(1967-),女(汉族),北京人,首都经济贸易大学统计学院,教授,博士,研究方向:数理金融,E-mail:guowy67@126.com. E-mail:guowy67@126.com
基金资助:
国家自然科学基金资助项目（11371001）；首都经济贸易大学科研水平提高定额项目

Dynamic Portfolio Choice based Bayesian Learning Approach

GUO Wen-ying

School of Statistics Capital University of Economics and Business, Beijing 1000070, China

Received:2015-10-13 Revised:2016-11-21 Online:2017-08-20 Published:2017-10-16

摘要/Abstract

摘要： 假设金融市场中有两种风险资产，并且每种资产的收益中均含有不可观测项、对应的风险既有系统性风险又有自身特有风险，具有幂效用函数的投资者运用贝叶斯学习方法最优地选取自己的动态投资组合。理论模型与数值分析显示，在一定的投资期限内，对风险资产的投入是风险厌恶程度的减函数；但超过某一时刻，则相反。当风险厌恶程度不变时，对不可观测因素的了解使得长、短期的投资策略不同。而且这个转折点随投资者的风险厌恶程度的增加而减小。风险资产与不可观测因素的相关性与风险的大小成反比例关系。

关键词: 贝叶斯学习, HJB方程, 动态投资

Abstract: In this paper, the optimal dynamic portfolio choice is analyzed under Bayesian learning. Assuming that there are two kinds of risky assets, the returns of each asset are predictable by unobservable predictor, and risks of each asset have both systematic and own risks. The empirical results highlight that the proportion of the investor's wealth invested in every risky asset is decreasing with the degree of risk aversion over short horizon, but it is opposite when the investment horizon is long. When the degree of risk aversion is constant, the Bayesian learning makes different about the long and short-horizon investment strategy. This critical point decreases with the degree of risk aversion of investor. The correlation between risk assets and the unobservable predictor is inversely proportional to the size of the risk of asset.

Key words: Bayesian learning, HJB equation, dynamic portfolio choice

中图分类号:

F830

郭文英. 基于贝叶斯学习的动态投资组合选择[J]. 中国管理科学, 2017, 25(8): 39-45.

GUO Wen-ying. Dynamic Portfolio Choice based Bayesian Learning Approach[J]. Chinese Journal of Management Science, 2017, 25(8): 39-45.

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基于贝叶斯学习的动态投资组合选择

Dynamic Portfolio Choice based Bayesian Learning Approach

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