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在资产收益可预测的金融市场中,研究了连续时间最优动态资产配置问题.利用分离定理,带有预测变量的优化问题被分解为一个参数推断问题和一个随机优化问题,利用拉格朗日对偶方法和动态规划方法求得了最优策略和有效前沿.结果表明,预测变量带来的估计误差和投资机会集合时变性都会对最优策略和有效前沿产生显著影响.
In the financial market with predictable return on assets, we study the optimal dynamic asset allocation problem in continuous time.Using the separation theorem, the optimization problem with predictive variables is decomposed into a parameter inference problem and a stochastic optimization problem, using Lagrange Dual method and dynamic programming method, the optimal strategy and the effective frontier are obtained.The results show that both the estimation error caused by the predictor variables and the time-varying set of investment opportunities will have a significant impact on the optimal strategy and effective frontier.