摘要
基于风险资产收益率及其波动率获得模糊信息的精度,引入信息精度测度信息的模糊程度,并假设投资者为模糊规避型且具有二次效用财富偏好,构建模糊信息下最优资产组合模型;运用随机控制方法获得模型封闭解,分析风险资产配置份额与其价格的关系;最后,以上证综指2019年1月2日~2021年12月31日的季度数据为样本予以实证研究。结果表明,模糊信息下,投资者交易行为存在惰性,不足预期时,先出现调整惰性;超越预期时,先出现参与惰性。本研究不但有助于丰富资产组合理论与实践,而且也有助于提升股票市场的流动性。
Based on the precision of ambiguous information obtained by the return and volatility of risky assets,the information precision is introduced to measure the degree of ambiguous information,and the optimal asset portfolio model under ambiguous information is constructed by assuming that investors are ambiguous-averse with quadratic utility wealth preference;The closed solution of the model is obtained by using stochastic control method,and the relationship between the allocation share of risk assets and its price is analyzed;Finally,the paper takes the quarterly data of Shanghai Composite Index from January 2,2019 to December 31,2021 as a sample for empirical research.The results show that under the ambiguous information,there is inertia in the trading behavior of investors,when under under-expected,the adjustment inertia occurs first;on the contrary,when over-excepted,the participation inertia occurs first.The research helps not only to enrich the theory and practice of asset portfolio,but also improve the liquidity of the stock market.
作者
彭惠
何朝林
聂柳芳
PENG Hui;HE Chaolin;NIE Liufang(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)
出处
《安徽工程大学学报》
CAS
2023年第2期80-88,共9页
Journal of Anhui Polytechnic University
基金
国家自然科学基金资助项目(71873002)。
关键词
模糊信息
信息精度
资产组合
参与惰性
调整惰性
ambiguous information
information precision
portfolio
participation inertia
adjustment inertia
