【摘要】：實(shí)際的經(jīng)濟(jì)運(yùn)行中,存在著不確定性事件,例如技術(shù)變革,新產(chǎn)品引進(jìn),自然災(zāi)害,法律和政策變動(dòng),金融危機(jī)等等。這些事件與風(fēng)險(xiǎn)資產(chǎn)的收益率之間關(guān)系復(fù)雜,對(duì)其產(chǎn)生的影響也很大。對(duì)于Markowitz經(jīng)典的投資組合和資產(chǎn)定價(jià)理論,都是假設(shè)投資者已知了風(fēng)險(xiǎn)資產(chǎn)的期望回報(bào)率和資產(chǎn)波動(dòng)率的前提下進(jìn)行的。然而,這樣的前提假設(shè)是和實(shí)際不相符的。所以,為了用更加準(zhǔn)確的資產(chǎn)價(jià)格模型來(lái)描述實(shí)際情形,本文假設(shè)風(fēng)險(xiǎn)資產(chǎn)的收益系數(shù)是不可觀測(cè)的,在這種假設(shè)下研究最優(yōu)投資組合和最優(yōu)消費(fèi)決策問(wèn)題。 本文首先研究了基于Gennotte的模型部分信息下的最優(yōu)消費(fèi)和最優(yōu)投資組合問(wèn)題。并對(duì)模型在指數(shù)效用下進(jìn)行了求解,并進(jìn)行數(shù)值計(jì)算。分析結(jié)果表明風(fēng)險(xiǎn)厭惡系數(shù)、投資期限、期望收益率的方差、資產(chǎn)價(jià)格波動(dòng)率的變化對(duì)最優(yōu)消費(fèi)和最優(yōu)投資組合都有不同趨勢(shì)的影響。 然后研究了資產(chǎn)均值收益率為不可觀測(cè)變量,并且是一個(gè)連續(xù)時(shí)間馬氏鏈的情形。投資者用過(guò)去的資產(chǎn)價(jià)格來(lái)估計(jì)當(dāng)前的狀態(tài)�！谥笖�(shù)效用函數(shù)下研究最優(yōu)消費(fèi)和投資組合策略的選擇問(wèn)題。長(zhǎng)時(shí)期投資者的最優(yōu)消費(fèi)和投資組合策略與短時(shí)期投資者有本質(zhì)上的不同。這個(gè)不同是長(zhǎng)時(shí)期比短時(shí)期多一個(gè)對(duì)沖頭寸,來(lái)消除均值回報(bào)估計(jì)的波動(dòng)。 最后研究了在異質(zhì)信念下的最優(yōu)消費(fèi)投資問(wèn)題。假設(shè)一個(gè)經(jīng)濟(jì)環(huán)境中,除了一個(gè)投資者以外,其他投資者對(duì)市場(chǎng)的判斷都是一致的,也就是,市場(chǎng)中只存在著兩種判斷。研究異質(zhì)信念對(duì)投資者最優(yōu)消費(fèi)投資的影響。研究結(jié)果表明：如果投資者相較于市場(chǎng)更為樂(lè)觀,則他更傾向于消費(fèi)；如果投資者對(duì)市場(chǎng)的估計(jì)越有信心,則他的消費(fèi)越趨向理性。
[Abstract]:In the actual economic operation, there are uncertain events, such as technological change, new product introduction, natural disasters, legal and policy changes, financial crisis and so on. The relationship between these events and the rate of return on risky assets is complex and has a great impact on them. For Markowitz's classic portfolio and asset pricing theory, it is assumed that investors know the expected rate of return and volatility of risky assets. However, such presupposition is not consistent with reality. Therefore, in order to describe the actual situation with more accurate asset price model, this paper assumes that the return coefficient of risky assets is not observable. Under this assumption, the optimal portfolio and optimal consumption decision-making are studied. In this paper, we first study the optimal consumption and optimal portfolio under the partial information of the model based on Gennotte. At the same time, the model is solved under exponential utility, and numerical calculation is carried out. The results show that the risk aversion coefficient, the duration of investment, the variance of expected rate of return and the variation of asset price volatility have different effects on the optimal consumption and optimal portfolio. Then we study the case where the average return rate of assets is an unobservable variable and is a continuous-time Markov chain. Investors use past asset prices to estimate the current state of affairs. The choice of optimal consumption and portfolio strategy is studied under exponential utility function. The optimal consumption and portfolio strategies of long-term investors are essentially different from those of short-term investors. The difference is that the long term is one more hedge position than the short one to eliminate the volatility of the average return estimate. Finally, the problem of optimal consumption and investment under heterogeneous beliefs is studied. Suppose in an economic environment, all but one investor's judgment of the market is the same, that is, there are only two kinds of judgment in the market. This paper studies the influence of heterogeneous beliefs on investors' optimal consumption investment. The results show that if the investor is more optimistic than the market, he is more likely to spend, and the more confident the investor is in the market, the more rational his consumption is.
【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.59;F224

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 楊利雄;;IPO鎖定期、信息生產(chǎn)和效率[J];南方經(jīng)濟(jì);2013年11期

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1 陳崢;經(jīng)典風(fēng)險(xiǎn)過(guò)程和對(duì)偶模型中的投資問(wèn)題[D];中南大學(xué);2013年

2 肖子娟;不確定環(huán)境下投資組合期望效用—風(fēng)險(xiǎn)模型[D];湖北大學(xué);2013年

3 李鈺;在Knight不確定和部分信息下最優(yōu)消費(fèi)投資問(wèn)題研究[D];安徽工程大學(xué);2013年

4 潘磊;奈特不確定下考慮紅利、通漲和機(jī)制轉(zhuǎn)換的最優(yōu)消費(fèi)投資研究[D];安徽工程大學(xué);2013年

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本文編號(hào)：2460166