资产配置中如何管理通货膨胀和随机利率风险:一种中长期投资问题被引量：8

How to Manage Inflation and Stochastic Interest Rate Risk in a Strategic Asset Allocation:An Investment Problem With Medium/Long Period

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摘要通货膨胀可以被认为是一种背景风险,通常只对财富的增长率有影响,而不会改变投资财富的数量。在现有的资产管理文献中,几乎大部分都没有考虑通货膨胀问题。但是,当投资期限为中长期时,通货膨胀风险及规避问题是不容忽视的,直到近期人们才真正开始关注通货膨胀风险。本文考虑了银行帐户、债券和股票这三种可以交易的资产,并且对以通货膨胀和短期利率为主要的影响因素的资产配置问题进行了研究,最后得出最优的资产配置方案,并对该方案的经济含义进行了分析。 Inflation can be considered as a background risk affecting only the wealth growth rate without altering the amount of wealth that can be invested. Almost all the literature about the optimal portfolio rules does not consider the inflation rate. The interest towards the inflation risk has risen only in recent period. Nevertheless, when a long （and even medium ） period of time is considered, the inflation risk and its hedging cannot be neglected. A bank account, nominal bonds, and stocks can be traded; this paper provides the optimal asset allocation strategy with interest rate risk and inflation risk. The solutions are given and the economic significations are analyzed.

作者王春峰吴启权李晗虹

机构地区天津大学金融工程研究中心

出处《系统工程》 CSCD 北大核心 2006年第4期60-64,共5页 Systems Engineering

基金国家杰出青年科学基金资助项目(70225002) 教育部优秀青年教师教学科研奖励基金资助项目

关键词通货膨胀风险背景风险随机利率风险战略资产配置中长期 Inflation Risk Background Risk tStochastic Interest Rate Risk Strategic Asset Allocation Medium/Long Period of Time

分类号 F830 [经济管理—金融学]

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