Optimal dynamic Asset Allocation under a Type of Non-separable Utility Function on Time

摘要：

　　For one-period investors, fixed income securities without default are risk-free asset, because the return of these securities can be determined at the beginning of investment period. However, considering long-term investment, investors are able to adjust their portfolio since fixed income securities would have risk of interest rate volatilities from reinvestment. So fixed income securities are no longer risk-free. This paper discussed long-term asset allocation under a frame of special “habit formation utility function. Under a series assumption for simplicities, we derived influence of real interest rate volatilities on weight of risky asset allocation, and provided theoretical basis and algorithm for calculating real optimal long-term asset allocation.

关键词： long-term asset allocation real interest rate volatility “habit formation utility function portfolio

作者: XIE Yao LIANG Zhi-an

作者单位: School of Finance,Shanghai University of Finance and Economics, Shanghai, P.R.China Department of Applied Mathematics,Shanghai University of Finance and Economics, Shanghai, P.R.China

会议类型: 国际会议

会议名称: 第8届国际最优化方法及应用大会

会议地点: 上海

会议语种:英文

页码: 350-351

在线出版日期: 2010-12-10（万方平台首次上网日期，不代表论文的发表时间）