基于矩分析的资产组合选择

在风险资产收益分布为非正态的情景下,通过矩分析,研究其收益的高阶矩对资产组合选择的影响.首先,假设风险资产收益存在有限阶矩,泰勒展开边际财富期望效用,获得静态资产组合选择的近似解;其次,假设收益过程的跳跃产生收益分布的非正态性,运用随机控制方法获得动态资产组合选择的近似解析解,从高阶矩角度解释其特征。分析表明,超出峰度的存在导致减少风险资产投资,正(负)的偏度导致增加(减少)风险资产投资,该影响性随着它们及风险规避系数的增大而增强;可预测性导致资产组合存在正或负的对冲需求,取决于相关系数的符号和风险规避系数;跳跃性总体上减少风险资产投资;可预测性和跳跃性对动态资产组合选择的影响具有内在关联性。

Portfolio Selection Based on the Moment Analysis

This paper applies the method of moment analysis to study the effect of higher moments of risky asset return on portfolio selection under it's distribution is non-normality.At first,assuming risky asset return has finite moments,it expands the marginal utility function as a Taylor series to obtain the approximate solution of static portfolio selection;then,assuming jumps in the risky asset return process generate non-normality,it applies the method of stochastic control to obtain the analytical approximation of dynamic portfolio selection,and explains it with higher moments.Analyses show,the existing of extra kurtosis reduces the investment on risky asset,positive(negative)skewness increases(decreases)the investment on risky asset,the effects enhance with their increasing and that of risk aversion coefficient; predictability results in positive or negative hedging demand of portfolio,which depends on the sign of correlation coefficient and risk aversion coefficient;jump overall reduces the investment on risky asset; predictability and jump have interactive effect on dynamic portfolio selection.