摘要
这篇论文为一个投资者调查最佳的动态投资最大化经常的绝对风险厌恶(CARA ) 在有风险的一个分离时间的市场的用途免费债券和一张危险股票。危险股票被假定介绍红利风险和价格风险。与我们的假设,红利风险等价于基本风险,并且价格风险等价于交换风险的噪音。为最佳的投资策略的分析表示被动态编程获得。在这篇论文的主要结果强调在为最佳的动态投资交换风险和基本风险的噪音之间区分的重要性。
This paper investigates the optimal dynamic investment for an investor who maximizes constant absolute risk aversion (CARA) utility in a discrete-time market with a riskfree bond and a risky stock. The risky stock is assumed to present both the dividend risk and the price risk. With our assumptions, the dividend risk is equivalent to fundamental risk, and the price risk is equivalent to the noise trading risk. The analytical expression for the optimal investment strategy is obtained by dynamic programming. The main result in this paper highlights the importance of differentiating between noise trading risk and fundamental risk for the optimal dynamic investment.
基金
the Institute for Quantitative Finance and Insurance (IQFI) at the University of Waterloo
the National Science Foundation of China under Grant No.70518001
the National Basic Research Program of China (973 Program) under Grant No.2007CB814902
the Social Science & Humanities foundation of Ministry of Education of China under Grant No.07JA630031
the funding from the Canada Research Chairs Program
the Natural Sciences and Engineering Research Council of Canada
the Cheung Kong Scholar Program of China
关键词
贸易
动态投资
债券
风险控制
Dynamic investment, noise trade, overlapping generation, serial correlation.