本文選題：奈特不確定性　切入點：通脹　出處：《安徽工程大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文是基于Merton等眾多金融研究者研究的基礎(chǔ)上,對某些結(jié)論進行完善和推廣.著重分析了在奈特不確定性環(huán)境下,股票的預(yù)期回報率服從Markov鏈的跨期消費和資產(chǎn)選擇問題.具體內(nèi)容分為以下三個部分： 基于國內(nèi)對外考慮機制轉(zhuǎn)換和奈特不確定性時的最優(yōu)投資組合理論研究現(xiàn)狀,本文首先對由風(fēng)險資產(chǎn)預(yù)期回報構(gòu)成的不可觀測狀態(tài)下的隱馬爾可夫狀態(tài)轉(zhuǎn)換模型做出了刻畫,使人們對感性的“不可觀測狀態(tài)”的實際金融市場到其精確的數(shù)學(xué)模型表達有一個清晰的認識. 其次在連續(xù)時間風(fēng)險模型下,假設(shè)具有遞歸多先驗效用的投資者擁有一個不可觀測的投資機會的先驗集,借助Malliavin導(dǎo)數(shù)和隨機積分方程求解投資者最優(yōu)消費和投資策略的顯式表達式.通過數(shù)值模擬分析時,發(fā)現(xiàn)不完備信息下的連續(xù)Bayes修正產(chǎn)生了能夠削減跨期對沖需求的含糊對沖需求,含糊厭惡增大了最優(yōu)投資組合策略中對沖需求的重要性.再次討論了當(dāng)市場上出現(xiàn)通脹因素和紅利因素,上述最優(yōu)投資組合結(jié)論將會發(fā)生何種變化,并對通脹因素和紅利因素進行具體的量化,定量的研究不同大小的通脹和紅利對最優(yōu)投資組合的影響. 最后為了更好說明本文的實用性,利用蒙特·卡羅Malliavin導(dǎo)數(shù)模擬計算法分別說明了考慮含糊情形下最優(yōu)股票需求和跨期對沖需求的變化趨勢,且考慮在股票是否考慮通脹和支付紅利的情況下對投資的影響.通過對模型的擴展,使得結(jié)論更加符合經(jīng)濟實際.
[Abstract]:This paper is based on the research of many financial researchers such as Merton to perfect and generalize some conclusions. The expected return on stocks serves the cross-period consumption and asset selection problems of the Markov chain. The specific content is divided into the following three parts:. Based on the current situation of research on optimal portfolio theory under the consideration of mechanism transformation and Knight uncertainty, this paper firstly describes the hidden Markov state transition model under the unobservable state of expected return on risk assets. So that people have a clear understanding of the perceptual "unobservable state" of the actual financial market to its precise mathematical model expression. Secondly, under the continuous time risk model, it is assumed that the investors with recursive multi-priori utility have a priori set of unobservable investment opportunities. By means of Malliavin derivative and stochastic integral equation, the explicit expression of investors' optimal consumption and investment strategy is solved. It is found that continuous Bayes correction with incomplete information leads to vague hedging demand that can reduce the intertemporal hedging demand. Vague aversion increases the importance of hedging demand in optimal portfolio strategies. This paper again discusses how the above optimal portfolio conclusions will change when inflation and dividend factors emerge in the market. The paper also quantifies the factors of inflation and dividend, and quantitatively studies the influence of different sizes of inflation and dividend on the optimal portfolio. Finally, in order to illustrate the practicability of this paper, the Monte Carlo Malliavin derivative simulation method is used to illustrate the changing trend of optimal stock demand and intertemporal hedging demand in the case of ambiguity. The paper also considers the influence of stock on investment when inflation and dividend are taken into account. Through the expansion of the model, the conclusion is more in line with the economic reality.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F224

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