摘要
运用两状态隐马尔可夫模型刻画金融资产收益率序列的非线性变化,建立状态变化下的连续时间动态投资组合模型,利用动态规划得到最优投资决策的一般解,使用蒙特卡罗方法模拟投资者的投资决策行为.仿真结果表明:状态变化产生了对冲需求,对冲组合的大小依赖于投资者对市场状态的预期;当风险资产的波动率越小时,投资者状态信念的轻微变化都会引起对冲组合较大幅度的变化;当风险厌恶程度越大时,对冲组合对初始状态信念的变化越不敏感.
In view of nonlinear time series of assets＇ returns, two states hidden Markov model is used to construct a continuous-time model of portfolio choice under regime-switching, and explicit optimal investment policies are obtained by using the dynamic programming method. The investors＇ portfolio choice behaviors are simulated by using the Monte Carlo method. The market state uncertainty will cause investors to hedge against the uncertainty risk. The hedging portfolio is depended on investors＇ beliefs. When the smaller the volatility of risky assets, a slight change of investors＇ beliefs will cause more changes of hedging portfolio. The bigger the risk-aversion is, the less the sensitive to investors＇ state belief the hedging portfolio is.
作者
陈志英
CHEN Zhi-ying(School of Economics, Southwest University of Political Science ＆ Law, Chongqing 401120, China)
出处
《控制与决策》
EI
CSCD
北大核心
2017年第6期1137-1142,共6页
Control and Decision
基金
重庆市教委科技项目(KJ1500104)
