01 带有定价误差和随机风险溢价的均衡投资策略

王佩;李明昕;

• 1:广东金融学院

• 2:内蒙古科技大学理学院

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摘要(Abstract)：                

假设投资者在金融市场中可投资一个无风险资产,一个市场指数和一对存在定价误差的股票,其中股票具有满足均值回复过程的随机风险溢价.投资者的决策目标是最大化终端财富期望的同时最小化终端财富的方差.在博弈论框架下,利用动态规划方法得到了均衡投资策略的解析式.通过数值算例分析了模型参数对均衡投资策略和均衡有效前沿的影响.数值分析表明,当市场流动性增强时,对冲定价误差的需求会显著增加,并且投资组合的风险会降低.

关键词(KeyWords)：                    定价误差;随机风险溢价;均值方差;均衡投资策略

Abstract:                    

Keywords:                    

基金项目(Foundation):                     广东省普通高校青年创新人才类基金资助项目(2019WQNCX090)

作者(Author):                     王佩;李明昕;

Email:                                    

DOI:                    10.16559/j.cnki.2095-2295.2021.02.001

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