不确定因素对金融资产配置影响机制的研究

Investigation on Uncertainty Factors Affected to Financial Assets Allocation

对资产配置的理论和方法进行梳理与评价的基础上,本文揭示了宏观经济因素与微观金融市场的相关性,把不确定因素对金融资产优化配置的影响纳入到定量的研究框架。针对资产管理者不同效用偏好,研究了相关不确定因素对最优资产配置策略的影响机制,对资产持有者在非传统效应偏好下,市场的均衡价格系统进行了理论分析。通过对集权决策偏好与分权决策偏好的比较研究,给出了由于分权决策导致的整体效用损失分析,对大型投资机构的资产优化配置提供了一种策略。对于通胀周期不同阶段对资产配置效率的论证,给出了通过证券市场调整资产配置的建议。

Based on summary and review to the theory and method of asset allocation,this paper announced the relationship between macro economy factors and micro financial market and brought the uncertainty factors affected to financial assets allocation into a quantitative analyzing framework.Aim at different utility preference of asset managers,it explored uncertainty factors affected to financial assets allocation and analyzed market equilibrium system with asset holders having nontraditional utility preference.The total utility loss with decentralized decision was given by comparative study in centralized decision and decentralized decision.The suggestion of reallocation portfolio by adjusting securities was posed with different period of economy inflation cycle.