存在系统风险的投资组合选择研究

多风险资产会受到波动和跳跃风险作用,它们往往具有高度相关性,形成系统风险,因此由投资组合多样化所带来的收益相应会受到影响.这篇文章考察了存在系统风险的投资组合选择问题,假定投资期无限且有中间消费,利用双跳跃模型给出最优资产组合权重近似解析解,由解的表达式可以清楚的看出系统风险对投资策略的影响情况.为了避免风险资产空头寸以及杠杆头寸对投资者的影响,这里对组合权重做了一定限制.通过与经典连续时间投资组合选择模型的比较,系统风险的影响进而可以由财富补偿来表达.

Portfolio Choice with Systemic Risk Squares Estimator is BLUE

Rsk assets are characterized by volatility and jumps,moreover,these risk factors tend to be perfectly correlated across assets leading to systemic risk,the benefit from portfolio diversification implies by traditional models can been reduced.The paper researches portfolio choice with systemic risk by using double-jump model,provides an approximate analytical solution,and makes clear the meaning of systemic risk,in there investor gains utility from intermediate consumption under infinite horizon.In order to avoid the impact of leveraged or short positions,investor should restrict his portfolio weights.By compared the optimal portfolio weights for an investor who accounts for systemic risk and the investor who ignores it,the cost of systemic risk can be quantified by compensating wealth.