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在风险资产收益分布为非正态的情景下,通过矩分析,研究其收益的高阶矩对资产组合选择的影响.首先,假设风险资产收益存在有限阶矩,泰勒展开边际财富期望效用,获得静态资产组合选择的近似解;其次,假设收益过程的跳跃产生收益分布的非正态性,运用随机控制方法获得动态资产组合选择的近似解析解,从高阶矩角度解释其特征。分析表明,超出峰度的存在导致减少风险资产投资,正(负)的偏度导致增加(减少)风险资产投资,该影响性随着它们及风险规避系数的增大而增强;可预测性导致资产组合存在正或负的对冲需求,取决于相关系数的符号和风险规避系数;跳跃性总体上减少风险资产投资;可预测性和跳跃性对动态资产组合选择的影响具有内在关联性。
In the case of a non-normal distribution of return on risk assets, the moment analysis is used to study the effect of higher moments of return on portfolio choice.First, assuming that there is a finite moment of return on risky assets, Taylor expands the expected utility of marginal wealth to obtain Second, we assume that the jump in the process of return leads to the non-normal distribution of returns. We use the stochastic control method to obtain the approximate analytic solution of the dynamic portfolio selection, and explain its characteristics from the perspective of higher-order moments. The analysis shows that the existence of excess kurtosis leads to the reduction of risky asset investment and the positive (negative) skewness results in an increase (decrease) of risky asset investment, which increases as they increase and the risk aversion coefficient increases. Predictability leads The positive or negative hedging demand for a portfolio depends on the sign of the correlation coefficient and the risk aversion coefficient; junkiness generally reduces the risky asset investment; predictability and jumpiness are intrinsically linked to the impact of dynamic portfolio selection.