关于无风险资产不存在时资产组合选择的研究

以往关于资产组合选择的研究大多假设市场上存在无风险资产,但无风险资产实际上是不存在的.当不存在无风险资产时,假设投资者的效用定义在消费上,消费一直是投资者财富的一个固定比例,投资者的最优资产组合由两部分组成:短视的资产组合和对冲组合.假设只有股票和债券两种风险资产,当股票和债券的风险具有负的相关性时,投资者现在会消费更多,同时也会在股票上投资更多;两者正相关时,投资者无法降低风险,会减持股票并降低当前消费;两者不相关时,投资者持有的股票权重和存在无风险资产时一样.最后,还推导出了多种资产情况下最优消费和资产组合的解析表达式.

Portfolio Selection When a Riskless Asset is Absent

Formerly research on portfolio selection mostly made assumption with the riskless asset,but the riskless asset does not exist in fact.In this paper,we examine the combined problem of optimal portfolio selection and consumption rules for an individual with power utility function in a continuous-time model without the riskless asset.The investor′s optimal portfolio is composed of shortsighted portfolio and hedge portfolio.We derive explicit solution for a multi-asset problem when the rates of return are generated by a Brownian-motion process.A particular case examined in detail is the two-asset model where the correlation between two risk sources influence materially individual′s optimal rules.