本文選題：跳擴(kuò)散過程　切入點：資產(chǎn)配置　出處：《安徽工程大學(xué)》2013年碩士論文

【摘要】：關(guān)于跳擴(kuò)散環(huán)境下動態(tài)資產(chǎn)配置問題,國內(nèi)外學(xué)者已經(jīng)進(jìn)行了相關(guān)的研究,本文在前人的基礎(chǔ)上,結(jié)合我國金融市場實際數(shù)據(jù),在跳擴(kuò)散環(huán)境下考慮紅利支付,通貨膨脹因素,探討了跳擴(kuò)散過程,紅利支付,通脹三種不同因素對投資者投資決策的影響。 首先,本文利用統(tǒng)計軟件對我國A股市場1990年12月19日到2012年12月31日大盤日收盤指數(shù)對數(shù)收益率序列進(jìn)行分析,得到我國股票市場收益率序列的分布特征,證實其尖峰厚尾的非正態(tài)性質(zhì),即存在跳的可能,同時還通過高階矩和參數(shù)的關(guān)系給出了跳參數(shù)的估計方法。 其次,我們考慮了資產(chǎn)收益帶有紅利支付,在隨機(jī)投資環(huán)境下,投資者在投資期限內(nèi)效用最大化其終端財富,利用HJB方程推導(dǎo)最優(yōu)配置策略,得出最優(yōu)動態(tài)資產(chǎn)配置策略的近似解。并用數(shù)值分析說明了跳和紅利支付對投資者資產(chǎn)配置的影響,結(jié)論指出隨著跳大小和跳波動率的增大,投資者的配置頭寸都會隨之減少,紅利支付能夠增加投資者的配置頭寸。 最后,在跳擴(kuò)散環(huán)境下引入通脹因素。首先利用Ito公式推導(dǎo)考慮通脹的消費籃子價格動力學(xué)方程,然后在由通脹折現(xiàn)的終端財富預(yù)期效用最大化標(biāo)準(zhǔn)下,同樣利用HJB方程推導(dǎo)最優(yōu)投資策略,得出投資者最優(yōu)動態(tài)資產(chǎn)配置策略。并定量分析了跳和通脹因素對投資者最優(yōu)資產(chǎn)配置策略的影響,給出了比較詳細(xì)的經(jīng)濟(jì)解釋,結(jié)果比較貼近實際,為投資者的投資行為提供新了的視角,具有一定的經(jīng)濟(jì)參考價值。
[Abstract]:On the dynamic asset allocation in the jump-diffusion environment, domestic and foreign scholars have carried out relevant research. Based on the previous research, this paper considers the dividend payment and inflation factors in the jump-diffusion environment, combined with the actual data of China's financial market.The paper discusses the influence of three different factors on investors' investment decision: jump diffusion process, dividend payment and inflation.Firstly, this paper uses statistical software to analyze the logarithmic return sequence of the daily closing index from December 19, 1990 to December 31, 2012 in China's A-share market, and obtains the distribution characteristics of the return series in China's stock market.It is proved that the non-normal property of the thick tail of the spike is the possibility of hopping, and the estimation method of the hopping parameter is also given by the relation between the higher-order moments and the parameters.Secondly, we consider the asset income with dividend payment. In the random investment environment, the investors maximize their terminal wealth within the investment period, and derive the optimal allocation strategy by using HJB equation.The approximate solution of optimal dynamic asset allocation strategy is obtained.The effect of jump and dividend payment on the asset allocation of investors is explained by numerical analysis. It is concluded that with the increase of jump size and jump volatility, the allocation positions of investors will decrease, and dividend payments can increase the allocation positions of investors.Finally, the inflation factor is introduced in the jump-diffusion environment.Firstly, the dynamic equation of consumer basket price considering inflation is derived by using Ito formula. Then, under the criterion of maximizing expected utility of terminal wealth discounted by inflation, the optimal investment strategy is also derived by using HJB equation.The optimal dynamic asset allocation strategy for investors is obtained.The paper also quantitatively analyzes the impact of jump and inflation factors on investors' optimal asset allocation strategy, and gives a more detailed economic explanation. The results are closer to reality and provide a new perspective for investors' investment behavior.It has certain economic reference value.
【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】：F832.5;O211.6

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