考虑基准资产的动态投资组合选取

职业基金经理的目标经常是希望自己的投资组合以稳定的表现能够超越所某一基准资产或组合。因此本文给出一个考虑基准资产的动态均值——方差投资组合选取模型。假设状态之间的转移遵循马氏过程,给定状态转移矩阵,可以得到对风险资产最优投入的解析表达式。此表达式表明对风险资产的投入由三项构成,前两项是不考虑基准资产时对风险资产的投入,最后一项与基准资产有关;在基准资产上的权重由基准资产收益的大小来决定,与积极投资组合管理者的风险厌恶程度无关;随着风险厌恶程度的增加,管理者会减少在风险资产上的投入。数值分析显示考虑基准资产的投资组合是一个积极的投资组合。

A Dynamic Model of Portfolio Choice with Benchmark Orientation

Professional fund managers＇ goals are often hope that their portfolios to stable performance can go beyond a certain benchmark asset or portfolio.So in this paper,we give a dynamic mean-variance considering benchmark asset portfolio selection model.Assumes that the state transfer between follow markov process,a given state transition matrix,can get analytic expressions of the optimal risk assets.This expression shows that investment in risky assets is composed of three,the first two benchmark is not consider assets for risky assets into,when the last item related to benchmark asset.On the baseline assets are weighted by benchmark yields to decide the size of the assets,has nothing to do with the degree of risk aversion of the active portfolio managers.With the increase of degree of risk aversion,risk managers will reduce the asset to hurt.Portfolios of numerical analysis shows that considering the benchmark portfolio is a positive.