
对冲通货膨胀风险的投资组合策略求解
SOLUTION OF PORTFOLIO STRATEGIES ON HEDGING AGAINST INFLATION RISK
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
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
通货膨胀 / 指数债券 / 投资组合策略. {{custom_keyword}} /
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