汇率与通胀风险下跨国投资问题研究

Study of Transnational Asset Allocation under Exchange Rate and Inflation Risk

在汇率和通胀风险下,研究了一家跨国公司在国外市场进行投资的最优资产配置问题。首先,对投资所在国的债券进行随机刻画。其次,利用随机分析,推导了跨国投资者国外资产以本币表示的通胀折现后的真实财富方程;再次,基于终端预期通胀折现的真实财富效用最大化的标准,利用哈密尔顿-雅可比-贝尔曼(HJB)方程分析跨国投资者的最优资产配置策略;最后,对理论分析结果进行数值模拟分析,在考虑通胀和汇率不确定后,数值上分析了跨国投资者的风险厌恶系数如何影响其最优资产配置策略。

This paper studies the optimal intertemporal asset allocation strategies of a transnational corporation,which invests in foreign market under exchange rate and inflation risk.Firstly,the foreign bonds is characterized by stochastic differential equations.Secondly,it was deduced we deduce by using stochastic calculus that the multinational investors'dynamics of exchange rate-converted real wealth discounted by the inflation of investor own country.Then,according to the standard of maximizing the expected utility of the terminal exchange rate-converted real wealth,the optimal asset allocation policies were obtained by the Hamilton-Jacobi-Bellman(HJB)equation.At last,by the numerical analysis of the obtained theoretical results quantitatively revealed how the relative risk aversion exerted effect on the optimal asset allocation policies of the investor.