| 仿射期限结构下资产混合策略 |
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| 引用本文： | 吴启权,王春峰,李晗虹.仿射期限结构下资产混合策略[J].系统工程,2007,25(4):78-82. |
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| 作者姓名： | 吴启权 王春峰 李晗虹 |
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| 作者单位： | 1. 天津大学,金融工程研究中心,天津,300072
2. 北京大学,经济学院,北京,100082 |
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| 基金项目： | 国家自然科学基金;高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | 通常的投资建议和两基金分离定理之间存在较大差异,这就是著名的Canner难题.以股票、银行账户和债券作为可以交易的资产,采用了由通货膨胀和实际利率定义的仿射利率期限结构模型,对最优资产配置问题进行了研究,得出最优的资产配置方案.通过对该方案实例分析,对投资建议和两基金分离定理之的差异给出了合理的解释,分析指出,投资期限和风险厌恶水平对投资策略的选择有很重要的影响.
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| 关 键 词： | Canner难题 两基金分离定理 通货膨胀 仿射利率期限结构模型 |
| 文章编号： | 1001-4098（2007）04-0078-05 |
| 修稿时间： | 2007-01-08 |
On Asset-Mix Strategies with Affine Term Structure of Interest Rate |
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| WU Qi-quan,WANG Chun-feng,LI Hang-hong.On Asset-Mix Strategies with Affine Term Structure of Interest Rate[J].Systems Engineering,2007,25(4):78-82. |
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| Authors: | WU Qi-quan WANG Chun-feng LI Hang-hong |
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| Institution: | 1. School of Management, Tianjin University, Tianjin 300072, China; 2. School of Economics,Peking University,Beijing 100082,China |
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| Abstract: | The advices of popular investment advisors are apparently inconsistent with the Separation Theorem;it is the so-called Canner Puzzle.Considering a market with a stock,cash and nominal bonds,this paper provides the optimal asset allocation strategies in nominal wealth.Uncertainty about future interest rates is represented by the affine term structure model.The solutions is given and the economic significations are analyzed by theoretic and illustrative calculations.The rational explications of the diversities between the popular investment advices and the Separation Theorem are given.The analysis points to the importance of considering investors' time horizons and level of risk aversion in analyzing optimal portfolio policies. |
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| Keywords: | Canner Puzzle The Separation Theorem Inflation Affine Term Structure of Interest Rates |
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