突发事件冲击下带通胀的动态资产配置问题研究

本文研究在通胀环境和突发事件冲击下,跳和通胀因素对投资者最优资产配置策略的影响.首先,在事件风险模型的基础上,利用通货膨胀率对资产价格进行折算,得到了折算后的资产价格动力学,建立了考虑通胀的动态资产配置问题的随机控制模型,其中风险事件模型中的资产价格和收益波动率都是跳扩散过程.其次,在幂效用的假设下,利用随机动态规划方法获得了投资者最优资产配置策略的近似解析解.最后,通过简化模型,利用Matlab数学软件,分析了通胀波动率、资产价格跳大小和资产收益波动率跳大小对投资者最优资产配置策略的影响.

Dynamic Asset Allocation with Event Risk under Inflation

This paper studies the effect of the inflation factor and jump on an investor’s optimal allocation strategy with event risk under inflation. First, through deducing the dynamics of the asset price discounted by inflation, a stochastic optimal control model for dynamic asset allocation with inflation is established under the event-risk framework, where the asset price and return volatility follow jump-diffusion processes. Second, by using the dynamic programming principle, we derive approximate analytical solutions to the optimal portfolio problem for the investor with power utility. Finally, the influence of the inflation volatility, asset price jump size and return volatility jump size on an investor’s optimal asset allocation strategy in simplified model is analyzed through the Matlab.