基于异质理念的动态组合选取模型

Dynamic Portfolio Choice with Heterogeneous Beliefs

不同于传统的代表性经济人的动态投资组合选取模型,引入异质理念,考虑不同投资者的动态组合选取.由于投资者的乐观或悲观情绪直接影响了他对信息的评价,因此用随时间变化的参数体现投资者的情绪,随机组合收益分布是这个参数的函数,不同的投资者或者同一投资者在不同情绪下就有了自己独特的收益分布.通过对均值——方差目标函数的变形,给出了不同投资者对风险资产的最优投入、预期收益和方差的解析表达式,此三项不仅和投资者的风险厌恶度有关,而且和投资期长短有关、与投资者的情绪有关.在对香港恒生指数的实证分析显示,异质性严重影响投资者对风险资产的投入.

This paper analyzes the dynamic properties of portfolio choices when investors have heterogeneous behefs.Because investor＇s optimism or pessimism has impact on his evaluation to information,this paper applies a parameter which changes over time to reflect investor＇s sentiment The distribution of return is a function of this parameter So every investor has his own unique distribution of return.By maximum an investor＇s objection,this paper presents the analytical expressions of the best solution of investment for risky asset,the expected return and variance which have relations with not only the degree of risk aversion,but also the length of the investment and the investor＇s sentiment.The event study shows that the heterogeneity has serious impact on investors＇ portfolio choices