对冲通货膨胀风险的投资组合策略求解

郑效晨,刘愈琳,曹晓旭

系统科学与数学 ›› 2016, Vol. 36 ›› Issue (8) : 1214-1225.

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系统科学与数学 ›› 2016, Vol. 36 ›› Issue (8) : 1214-1225. DOI: 10.12341/jssms12861
论文

对冲通货膨胀风险的投资组合策略求解

    郑效晨1,刘愈琳2,曹晓旭3
作者信息 +

SOLUTION OF PORTFOLIO STRATEGIES ON HEDGING AGAINST INFLATION RISK

    ZHENG Xiaochen1, LIU Yulin2,CHAO Xiaoxu3
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摘要

通货膨胀是投资者进行资产配置时面临 的主要问题, 其不仅会影响投资者的投资决策, 也会对其 投资收益产生重要影响. 文章在CRRA (constant relative risk aversion) 假设下, 效用函数同时考虑了投资者的消费和最终财富. 在约束条 件下, 文章求解了一般均衡时的最优消费和最优财富, 与此同时得出t时刻 财富与消费的比值实际上是年金债券的结论, 并在此基础上得出了一般情况 下的投资组合策略. 当存在通货膨胀时, 文章利用指数债券对冲通货膨胀 风险, 求解出远期期望消费和远期期望财富, 最终得到通货膨胀条件下的投资组合策略.

Abstract

Inflation is the main problem for asset allocation of investors which would affect their investment strategies and returns. In the hypothesis of CRRA, consumption and final wealth are simultaneously concluded in the utility function. The article derives the optimal consumption and wealth in the general equilibrium under the constraint condition. Also the conclusion that the ratio of wealth and consumption in the time t is an annuity bond is derived. Based on it, we get the portfolio strategies in the general condition. The article uses indexed bond to hedge the inflation, and gets the forward expected consumption and wealth and the portfolio strategies simultaneously in the condition of inflation.

关键词

通货膨胀 / 指数债券 / 投资组合策略.

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郑效晨 , 刘愈琳 , 曹晓旭. 对冲通货膨胀风险的投资组合策略求解. 系统科学与数学, 2016, 36(8): 1214-1225. https://doi.org/10.12341/jssms12861
ZHENG Xiaochen , LIU Yulin , CHAO Xiaoxu. SOLUTION OF PORTFOLIO STRATEGIES ON HEDGING AGAINST INFLATION RISK. Journal of Systems Science and Mathematical Sciences, 2016, 36(8): 1214-1225 https://doi.org/10.12341/jssms12861
中图分类号: 49L20    65K10   
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