参数不确定性对投资者最优资产组合的影响：基于中国的实证

现代金融学主要目标是给出具有科学依据的投资建议。这一任务对于投资期限较短的投资者已完成,但对面临时变性投资机会的长期投资者,金融学家还不能给出高精度的投资建议。文章考虑投资者自身预测力存在估计误差的感知风险(参数不确定性)对投资者最优资产组合选择问题的影响。运用我国资本市场数据的实证研究表明:忽略参数不确定性对资产组合选择问题的影响将会误导投资者配置过多的风险资产。

Parameter Uncertainty and Investor's Portfolio Choice:Evidence from China Stock Market

Offering the useful and scientific investment advices is the central motive of modern theory of fi- nance,which had already been achieved for the short-term investors.But for most investors they who the long horizons,the evidence of time-variation in expected returns is still among the more intriguing empiri- cal findings in finance.The paper analyses the parameter uncertainty's effect on the investor's optimal portfolio choice,it suggests if the investor ignores the estimation risk,he may by lead to take p...