中山大学学报社会科学版 ›› 2008, Vol. 48 ›› Issue (4): 184-192.

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模型不确定下的最优资产配置

李仲飞;高金窑   

  • 收稿日期:2008-04-16 修回日期:1900-01-01 出版日期:2008-07-15 发布日期:2008-07-15
  • 通讯作者: 李仲飞

Optimal Asset Allocation under Model Uncertainty

LI Zhongfei;GAO Jinyao   

  1. (Lingnan College, Sun Yatsen University, Guangzhou, 510275)
  • Received:2008-04-16 Revised:1900-01-01 Online:2008-07-15 Published:2008-07-15
  • Contact: LI Zhongfei

摘要:

模型不确定性是近期的一个研究热点。该文运用相对熵控制模型的不确定性程度,研究了模型不确定下的均值-方差资产配置问题,并得出了Robust资产配置策略。通过分析投资者的Robust策略,我们发现最优的风险资产投资比例随模型不确定性程度的增加而减少。文章还把模型不确定性推广到了动态情形,并分析了模型不确定性的跨期作用,发现未来时期的模型不确定性程度会影响到投资者当期的资产配置策略。最后,文章以算例的形式运用我国股票市场数据对Robust配置策略的性质进行了检验。

关键词: 模型不确定性, Robust策略, 资产配置

Abstract:

Model uncertainty has gained much attention recently in the field of economics. This paper investigates a meanvariance asset allocation problem under model uncertainty by using relative entropy to control the degree of uncertainty, and achieves the robust allocation strategy. By analyzing the individuals robust strategy, it finds that the optimal investment ratio to risk asset is inversely proportional to the degree of model uncertainty. It also extends the method to dynamic decisions under model uncertainty and finds that model uncertainty of future periods has effect on current optimal decisions. At last, it examines the properties of the robust strategy in the form of numerical examples by using data of Chinese stock markets.

Key words: model uncertainty, robust method, asset allocation

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