长期资产投资组合策略的演化稳定性

• 作 者: 朱洪亮 孔傲 张兵
• 机 构: 南京大学工程管理学院,南京大学数学系,
• 出 处: 系统工程理论与实践
• 发表日期: 2011年04期
• 关键词: 组合策略 长期资产 演化金融 投资策略 演化稳定性 动力系统理论 演化稳定策略 随机动力系统 证券市场投资 红利

利用随机动力系统理论研究了金融市场长期资产投资组合策略财富占有比例的动态演化模型.其中资产价格是内生的,每期末支付的股息或红利收益只用于消费,在财富不断再投资的过程中,投资组合的表现由财富的市场占有比例决定.将投资策略和红利收益纳入同一自然状态中考虑其相互影响,分析了固定投资组合策略演化稳定性的充分必要条件,在自然状态服从独立同分布和Markov过程时,给出了唯一的演化稳定投资策略,得到了一些更加直观具体的结果.进一步,利用中国股市数据,通过计算机进行数值模拟验证了演化稳定投资策略的长期效应.研究结果对证券市场投资策略选择及探讨市场有效性提供了重要的理论依据.

Using the stochastic dynamical system theory to study the dynamic evolvement model of the wealth share of the long-term asset portfolio strategy in the financial market, in which the asset price is endogenous, the dividend or dividend income paid at the end of each period is only used for consumption, , The performance of the portfolio is determined by the market share of the wealth.When the investment strategy and dividend income are brought into the same natural state and the interaction between them is considered, the necessary and sufficient conditions for the evolutionary stability of the fixed portfolio strategy are analyzed. In the natural state, Distribution and Markov process, the only evolutionary and stable investment strategy is given and some more concrete and concrete results are obtained.Furthermore, the long-term effect of the evolutionary-stable investment strategy is verified by numerical simulations using Chinese stock market data. Securities Market Investment Strategy and to explore the effectiveness of the market provides an important theoretical basis.