稳健的动态资产组合模型研究

Robust Portfolio of Dynamic Asset Allocation

事件风险与参数的不确定性对金融决策有重大的影响,投资者担心股市上极端金融事件的出现,突然改变股票价格和波动率,造成较大的损失。通过引入风险规避的稳健投资者以及模型设定可能存在误差,投资者在最小化模型设定误差的前提下,制定风险资产收益跳跃情况下的动态资产组合战略,最大化投资者的效用。结果表明,当投资者是风险规避和不确定性规避者时,稳健的投资准则会显著降低他们对风险资产的需求。

Both event and parameter uncertainty seems highly relevant in many aspects of financial decision-making. This paper explores the effects of such uncertainty and event risk on dynamic portfolio ,in particular, the implication of jumps in prices and volatility on investment strategies for major events often trigger abrupt changes in stock prices and volatility when a robust investor worries uncertainty in stock market. With the model specifications and robust investors, The results show that investors minimize the specification errors and then select an optimal dynamic portfolio to maximize their utilities, prove that robustness dramatically decreases the portfolio demand of equity when agents are risk aversion and uncertainty aversion .