论文部分内容阅读
本文提出了Robust投资组合有效前沿的概念,并研究了模型不确定性条件下的资本资产定价模型(CAPM)。研究发现,当市场上不存在无风险资产时,模型不确定性对风险资产投资比例的影响是非平等的,因此会导致投资组合的非分散化;而且此时的两基金分离定理以及零-βCAPM也不成立。但是当市场上存在无风险资产时,模型不确定性对风险资产投资比例的影响则是平等的,并且两基金分离定理仍然成立,因为任何Robust有效前沿组合都可以表示为市场组合与无风险资产的线性组合。而此时的CPAM仍然能够成立,只是在表达形式上增添了一个因子——不确定性因子;并且所有资产或资产组合的超额收益都可以分解为风险溢价与不确定性溢价两部分。
In this paper, the concept of effective frontier of Robust portfolio is put forward, and the capital asset pricing model (CAPM) under the uncertainty of model is studied. The study found that when there is no risk-free assets in the market, the impact of model uncertainty on the proportion of risk-based assets investment is non-equal, which leads to non-decentralized investment portfolio. Moreover, the two fund separation theorem and zero-βCAPM It does not hold either. However, when there are riskless assets in the market, the impact of model uncertainty on the proportion of risky assets investment is equal, and the two fund separation theorems still hold because any Robust effective frontier portfolio can be expressed as market portfolio and riskless assets Linear combination. However, the CPAM can still be established at this time, but only adds one factor - the uncertainty factor in the form of expression; and the excess returns of all assets or asset portfolios can be decomposed into two parts: risk premium and uncertainty premium.