| 真实利率波动对长期资产配置的影响(英文) |
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| 引用本文： | 谢瑶,梁治安. 真实利率波动对长期资产配置的影响(英文)[J]. 运筹学学报, 2010, 14(4) |
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| 作者姓名： | 谢瑶 梁治安 |
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| 作者单位： | 1. 上海财经大学金融学院,上海,200433
2. 上海财经大学应用数学系,上海,200433 |
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| 基金项目： | Ministry of Education of China，Leading Academic Discipling Program，211 Project for Shanghaise University of Finance and Economics(the 3rd phase) |
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| 摘 要： | 对于单期的投资者而言,无违约风险的固定收益证券被视为无风险资产.这是因为固定收益证券的收益率在投资的初期就能确定.然而在考虑长期的投资时,投资者可以调整资产配置,固定收益证券也将面临再投资的利率波动风险,因此不能再被视为无风险资产.本文在一类特殊的"习惯形成"效用函数的框架下讨论长期资产配置.在一系列为简化问题而作的假设之下,本文推导出了真实利率波动对风险资产配置权重的影响,并且为计算实际长期资产配置的最优比例提供了理论依据和算法.
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| 关 键 词： | 运筹学 长期资产配置 真实利率波动 " 习惯形成" 效用函数 资产组合 |
Influence of Real Interest Rate Volatilities on Long-term Asset Allocation |
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| Xie Yao,Liang Zhi An. Influence of Real Interest Rate Volatilities on Long-term Asset Allocation[J]. OR Transactions, 2010, 14(4) |
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| Authors: | Xie Yao Liang Zhi An |
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| Affiliation: | Xie Yao Liang Zhi An 1.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China,2.Department of Applied Mathematics |
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| Abstract: | For one-period investors, fixed income securities without default arerisk-free asset, because the return of these securities can be determined at the beginning of investment period. However, considering long-term investment, investors are able to adjust their portfolio since fixed income securities would have risk of interest rate volatil-ities from reinvestment. So fixed income securities are no longer risk-free. This paper discusses long-term asset allocation under a frame of special "habit formation" utility function. Under some assumption for simplicities, we derive the influence of real interest rate volatilities on weight of risky asset allocation, and provide theoretical basis and algorithm for calculating real optimal long-term asset allocation. |
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| Keywords: | Operations research long-term asset allocation real interest rate volatil-ity " habit formation" utility function portfolio |
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