长期投资者的战略资产配置选择

在股票期望收益率服从一个均值回复过程的假设下,推导出具有幂效用函数的投资者的资产配置函数,着重分析了投资期限对投资者资产配置结果的影响,发现长期投资者比短期投资者在股票上配置更大的资产比例.虽然不同投资期限的投资者具有相同的短视配置,但是战略配置随着投资期限的增大而增大.

Strategic Asset Allocation Choice for Long-Term Investors

This paper assumes the expected return of stock follow a mean-reverting stochastic process and solves,in closed form,the asset allocation problem for an investor with power utility function over wealth.We analyze the impact of investor's horizon on asset allocation and find that long-term investors hold more stock than short-term investors.Although investors with different horizon have the same myopic allocation,strategic allocation increases as horizon increase.