| 时变预期收益率下动态资产配置策略的博弈分析 |
| Asset allocation games under time-varying expected returns |
| 摘要点击 77 全文点击 0 投稿时间：2025-11-24 修订日期：2026-06-12 |
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| 中文关键词 相对业绩关注; 时变预期收益率; 短视需求; 对冲需求 |
| 英文关键词 relative performance concerns; time-varying expected returns; myopic demand; hedging demand |
| 基金项目 教育部人文社会科学研究青年基金资助项目(23YJC630193); 国家自然科学基金资助项目(72342021, 72425012); 湖北经济学院青年科研基金资助项目(XJZD202502) |
| 投稿方向 连续时间金融 |
| 作者 | 单位 | 邮编 | | 武瑶瑶* | 湖北经济学院 | 430205 | | 杨金强 | 上海财经大学 | |
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| 中文摘要 |
| 现实中基金经理在进行动态资产配置时不仅关注自身所管理基金的绝对业绩, 更在意与同类型其它基金的相对业绩. 基于此, 本文研究在时变预期收益率情况下, 具有相对业绩关注的两个投资人的动态资产配置博弈问题. 假定预期收益率与资产价格负相关, 根据随机控制理论建立该问题的哈密顿-雅可比-贝尔曼(HJB)方程组, 通过猜解验证的方法求得完全闭式解. 研究结果表明, 相对业绩关注提高了均衡时风险资产的配置比例. 进一步地, 本文将风险资产配置分解为短视需求与对冲需求, 发现相对业绩关注对二者的影响存在显著差异. 当相对业绩关注程度较低时, 短视需求与对冲需求都会增强. 然而当相对业绩关注程度较高时, 对冲需求可能减弱, 甚至完全消失. |
| 英文摘要 |
| In reality, fund managers not only pay attention to the absolute performance of the funds they manage, but also care about the relative performance of other funds of the same type when carrying out dynamic asset allocation. Based on this, this paper examines the game problem of dynamic asset allocation for two investors with relative performance concerns in the context of time-varying expected returns. Assuming that the expected rate of return is negatively correlated with asset prices, the Hamilton-Jacobi-Bellman (HJB) equations of the problem are established using stochastic control theory, and a completely closed-form solution is obtained by a combination of guessing and verification. The results show that the relative performance concerns increase the allocation of risky assets in equilibrium. Furthermore, we decompose the risky asset allocation into myopic demand and hedging demand, and find that there is a significant difference in the impact of relative performance concerns. When the relative performance concerns are moderate, both myopic demand and hedging demand are increasing. However, when the relative performance concerns are strong, the hedging demand may be reduced or even disappear. |
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