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多风险资产会受到波动和跳跃风险作用,它们往往具有高度相关性,形成系统风险,因此由投资组合多样化所带来的收益相应会受到影响.这篇文章考察了存在系统风险的投资组合选择问题,假定投资期无限且有中间消费,利用双跳跃模型给出最优资产组合权重近似解析解,由解的表达式可以清楚的看出系统风险对投资策略的影响情况.为了避免风险资产空头寸以及杠杆头寸对投资者的影响,这里对组合权重做了一定限制.通过与经典连续时间投资组合选择模型的比较,系统风险的影响进而可以由财富补偿来表达.
Multi-risk assets are subject to risks of volatility and jumps, which tend to be highly correlated and form a systemic risk, so the benefits of a diversified portfolio will be affected accordingly.This article examines portfolio options with systemic risks Problem, assuming that the investment period is infinite and there is an intermediate consumption, the double-jump model is used to give the approximate analytic solution of the optimal portfolio weight. The influence of system risk on the investment strategy can be clearly seen from the expression of the solution. Positions and leverage positions on the investors, we limit the portfolio weight.Compared with the classical continuous-time portfolio selection model, the impact of systemic risk can be further expressed by the wealth compensation.