| 变动投资机会下的线性最优长期资产配置 |
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| 引用本文： | 谢瑶,梁治安. 变动投资机会下的线性最优长期资产配置[J]. 内蒙古大学学报(自然科学版), 2011, 42(3): 276-282 |
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| 作者姓名： | 谢瑶 梁治安 |
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| 作者单位： | 1. 上海财经大学金融学院,上海,200433
2. 上海财经大学应用数学系,上海,200433 |
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| 基金项目： | 教育部科技创新工程重大项目培育资金资助项目(708040); 上海财经大学“211工程”三期重点学科建设项目 |
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| 摘 要： | 向量自回归模型刻画资产收益率同状态变量的动态过程,在这一框架下得到了长期最优资产组合同状态变量之间的线性近似关系,从而在变动的投资机会集下获得了最优的长期资产配置.并且以中国股票市场和国债市场数据为样本对模型得出的结论进行了经验研究,计算出了在股票指数、国债以及现金上的最优配置比例均值,并分析了长期资产配置的特征,指出基于中国市场的长期资产配置应以国债等债券为主.
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| 关 键 词： | 长期资产配置 最优投资组合 变动的资产收益率 |
Linear Optimal Long-term Asset Allocation under Varying Investment Opportunity |
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| XIE Yao,LIANG Zhi-an. Linear Optimal Long-term Asset Allocation under Varying Investment Opportunity[J]. Acta Scientiarum Naturalium Universitatis Neimongol, 2011, 42(3): 276-282 |
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| Authors: | XIE Yao LIANG Zhi-an |
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| Affiliation: | XIE Yao1,LIANG Zhi-an2 (1.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China,2.Department of Applied Mathematics,China) |
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| Abstract: | A dynamic process of asset return is described using the model of vector autoregression and linear proximate relation between optimal portfolio and state variables is obtained.The portfolio is optimal asset allocation under varying investment opportunity.Then an empirical model is discussed using data from Chinese stock market and bond market.Optimal weights on stock index,treasury bonds and cash are calculated,and characteristics of long-term asset allocation are analyzed.The result shows that it's better ... |
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| Keywords: | long-term asset allocation optimal portfolio varying investment opportunity |
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