基于信息更新的动态资产组合选择

本文研究了不完全信息下风险资产收益前两阶矩的参数不确定性对动态资产组合选择的影响。首先,在连续时间下假设资产价格服从随机扩散过程,引入参数不确定性,运用随机控制方法推导出风险资产最优选择的封闭解,给出定性分析。其次,在离散时间下用一阶自回归模型描述风险资产收益动态,基于贝叶斯分析框架,以上证综合指数不同区间段的两个样本做实证研究。结果表明,当投资者的风险规避程度大于(小于)对数效用时,参数不确定性将导致负(正)的投资期效应;当投资者在估计过程中运用较多的历史数据、或者风险规避程度增加时,参数不确定性的影响将减弱;参数不确定性下的资产组合选择可解释风险溢价之迷。研究说明了在动态资产组合选择过程中应考虑参数不确定性问题。

The Choice of Dynamic Portfolio Based on the Information Update

This paper studies the effects of parametric uncertainty of the first two moments about risky asset return on the choice of dynamic portfolio under incomplete information.In the continuous-time framework,it analyzes them qualitatively according to the closed-form solution of the optimal portfolio choice.Then in the discrete-time framework,gives their quantitative results according to the empirical study form two different sample of Shanghai Exchange Composite Index.Result shows:the uncertainty of parameter leads to negative (positive) investment horizon effects when investor's risk aversion is more (less) than that of logarithmic investor;the effects of parametric uncertainty will weaken when investor uses more past data in his estimation,or when his risk aversion increases;portfolio selection under parametric uncertainty can explain the puzzle of risk premium.This study demonstrates that the problem of parametric uncertainty should be taken into account in the context of dynamic portfolio choice.