摘要
资产配置是长期以来倍受关注的话题,而国内少有负债相关的资产配置模型,因此如何将负债考虑进去具有重要意义。动态规划模型将负债考虑进资产配置中,使得模型更加全面,Black-Litterman模型是经典的均值-方差模型的改进方法。选取最具有代表性的3种即资产股票、债券和无风险资产,提出基于动态规划和Black-Litterman模型的混合方法,研究单周期和多周期的资产配置。研究发现,混合方法不仅具有单个策略的优点,且在多周期资产配置中能获得更高更稳定的收益。
Asset allocation has been a topic of concern for a long time,but there are few asset allocation models related to liabilities in China.How to take liabilities into account for dynamic planning is of great significance.The dynamic programming model takes liabilities into account in asset allocation,which is more comprehensive,and the Black Litterman model is an improved method of the classical mean-variance model.Three most representative assets which includes stocks,bonds and risk-free assets are selected,and a hybrid method based on dynamic programming and Black Litterman model is proposed to study single cycle and multi cycle asset allocation.It is found that the hybrid method not only has the advantages of a single strategy,but also can obtain higher and more stable returns than a single strategy in multi cycle asset allocations.
作者
康成宇
乔高秀
KANG Chengyu;QIAO Gaoxiu(School of Mathematics,Southwest Jiaotong University,Chengdu 611756,China)
出处
《重庆理工大学学报（自然科学）》
CAS
北大核心
2021年第11期269-277,共9页
Journal of Chongqing University of Technology：Natural Science
基金
国家自然科学基金项目(72001180)
教育部人文社会科学研究项目(17YJC790119)
中央高校基本科研业务费专项资金资助项目(2682021ZTPY077)。
