投资收益不确定、投资期限与资产配置的动态调整策略

结合退休计划问题,本文在考虑了投资收益的不确定性后,在概率约束的框架下重新考察了不同投资期限下的最优资产配置问题,将传统的退休目标表示方法如"70@65"拓展为"70%的70@65",得出了不同投资期限下的最优资产配置策略。我们的研究表明,投资者越年轻则应持有更多的风险资产,并且,我们给出了随着年龄的增长,对资产配置进行的动态调整的可操作的具体路径,在理论上和实践上,特别是退休计划上具有一定的意义和运用价值。

Uncertainty, Investment Horizon and Dynamic Asset Allocation Strategy

In a probabilistic setting,combining with the problem of retirement planning,this paper explores how to allocate asset with different investment horizon,we use a chance constrained programming model,supplemented with Monte Carlo simulation,to extend the traditional retirement target of"70@65"to"70% of 70@65".One implication of the paper is that asset mix is a function of the investment ho- rizon.Our result supports the standard"your age in bonds"rule of thumb of financial planning professionals by offering a specific and practical asset allocation strategy.