考虑通胀及损失厌恶偏好的投资组合理论的研究进展
摘要
自马可维兹创立均值方差理论为现在投资组合理论打下基础以来,投资组合理论的研究便从未停止。文章先阐述了经典的连续时间模型的投资组合理论,再从现实意义的角度,简单介绍了长期投资者面临通胀风险时的投资组合选择理论以及投资主体有损失厌恶偏好时的最优投资策略理论。
引文
[1] Merton R C. Lifetime Portfolio Selection under Uncertainty:The Continuous-Time Case[J]. Review of Economics&Statistics, 1969,51(3):247-257.
[2] Pliska H S R. Martingales and stochastic integrals in the theory of continuous trading[J].Stochastic Processes&Their Applications, 1981,11(3):215-260.
[3] Cox J C,Huang C F. Optimal consumption and portfolio policies when asset prices follow a diffusion process[J].Journal of Economic Theory,1989,49(1):33-83.
[4] Campbell J Y, Cochrane J H. By Force of Habit:A Consumption-Based Explanation of Aggregate Stock Market Behavior[J].Journal of Political Economy,1999,107(2):205-251.
[5] Karatzas I, Lehoczky J P, Shreve S E, et al. Martingale and duality methods for utility maximization in a incomplete market[J]. Siam Journal on Control&Optimization, 2006, 29(3):702-730.
[6] Zhang A. A secret to create a complete market from an incomplete market[J].Applied Mathematics&Computation,2007,191(1):253-262.
[7]Lamm, R.M(1998).Asset allocation implications of inflation protection securities. Journal of Portfolio Management, 24,93-100.
[8] Chiarella C, Hsiao C Y, Semmler W. Intertemporal Investment Strategies Under Inflation Risk[J].Research Paper,2008.
[2] Pliska H S R. Martingales and stochastic integrals in the theory of continuous trading[J].Stochastic Processes&Their Applications, 1981,11(3):215-260.
[3] Cox J C,Huang C F. Optimal consumption and portfolio policies when asset prices follow a diffusion process[J].Journal of Economic Theory,1989,49(1):33-83.
[4] Campbell J Y, Cochrane J H. By Force of Habit:A Consumption-Based Explanation of Aggregate Stock Market Behavior[J].Journal of Political Economy,1999,107(2):205-251.
[5] Karatzas I, Lehoczky J P, Shreve S E, et al. Martingale and duality methods for utility maximization in a incomplete market[J]. Siam Journal on Control&Optimization, 2006, 29(3):702-730.
[6] Zhang A. A secret to create a complete market from an incomplete market[J].Applied Mathematics&Computation,2007,191(1):253-262.
[7]Lamm, R.M(1998).Asset allocation implications of inflation protection securities. Journal of Portfolio Management, 24,93-100.
[8] Chiarella C, Hsiao C Y, Semmler W. Intertemporal Investment Strategies Under Inflation Risk[J].Research Paper,2008.