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研究信息与均值-方差投资组合之间的关系.在L2框架和给定部分信息下,清楚地给出了均值-方差意义下的最优收益和有效前沿的表达式.为了刻画信息对投资组合的影响,引入了信息的风险-收益系数概念.信息的风险-收益系数随信息的增加而增加.投资者的最优收益的期望值和方差由其对应信息的风险-收益系数和风险厌恶参数共同决定.而市场的风险价格完全由信息的风险-收益系数确定.等价信息下最优风险资产组合的收益(在相差常数倍意义下)是唯一的.零信息下投资者仅投资于无风险资产.投资者对一无所知的风险资产不投资.
The relationship between research information and mean-variance portfolio is given in the framework of L2 and the given part of information, the optimal return and effective frontier in the mean-variance sense are clearly given.In order to characterize the relationship between information and investment portfolio The risk-return coefficient of information is introduced.The risk-return coefficient of information increases with the increase of information.The expectation and variance of the optimal return of investors are determined by the risk-return coefficient and risk aversion parameter of the corresponding information The market risk price is entirely determined by the risk-return coefficient of the information, and the return of the optimal risky portfolio under the equivalent information (in the sense of the difference constant) is unique.Now investors invest only in risk-free Assets Investors do not invest in risky assets that they know nothing about.