DYNAMIC PORTFOLIO CHOICE UNDER THE TIME-VARYING,JUMPS,AND KNIGHT UNCERTAINTY OF ASSET RETURN PROCESS

由把一个随机的元素介绍给双 jump 散开框架测量财产回来过程的骑士无常，这份报纸造动态公事包选择的模型，它最大化终端公事包财富的期望的实用程序。通过指定无常厌恶的州的功能，导出模型的分析答案学习效果利用 max-min 方法变化时间，跳，并且动态公事包选择和他们的相互作用上的财产回来过程的耐特无常。比较分析的结果出现：在公事包的积极或否定的 intertemporal hedging 需求的变化时间的结果，它取决于投资者的系数冒险在回来移动和轻快移动之间的厌恶和关联系数；在财产回来外套还原剂投资者的 jumps 为危险财产要求，它能被 jumps 在轻快提高或变弱；由于耐特无常存在，投资者避免在危险财产上拿大位置，并且结果是改善稳定的公事包和免疫。最后，实验研究从 1997 年 1 月基于上海交换复合指数每月的回来数据的样品被做到 2009 年 12 月，它不仅测试理论分析而且证明在纸的建议方法从公事包等价物用途的方面是有用的。

By introducing a stochastic element to the double-jump diffusion framework to measure the Knight uncertainty of asset return process, this paper builds the model of dynamic portfolio choice, which maximizes the expected utility of terminal portfolio wealth. Through specifying the state function of uncertainty-aversion, it utilizes the max-min method to derive the analytical solution of the model to study the effect of the time-varying, jumps, and Knight uncertainty of asset return process on dynamic portfolio choice and their interactions. Results of comparative analysis show： The time-varying results in positive or negative intertemporal hedging demand of portfolio, which depends on the coefficient of investor＇s risk aversion and the correlation coefficient between return shift and volatility shift; the jumps in asset return overall reduce investor＇s demand for the risky asset, which can be enhanced or weakened by the jumps in volatility; due to the existing of the Knight uncertainty, the investor avoids taking large position on risky asset, and the resulting is the improving of portfolio＇s steady and immunity. At last, an empirical study is done based on the samples of Shanghai Exchange Composite Index monthly return data from January 1997 to December 2009, which not only tests the theoretical analysis but also demonstrates that the proposed method in the paper is useful from the aspect of portfotio＇s equivalent utility.