Optimal Dynamic Portfolio Allocation under International Investment Restriction

國際投資限制下之最適動態資產配置研究

10.6545/JFS.2007.15(2).3

李桐豪(Tung-Hao Lee)；廖志峰(Chih-Feng Liao)

資產配置 ； 不完全市場 ； 隨機折現因子 ； Portfolio allocation ； Incomplete market ； Stochastic discount factor. JEL Classification: G11

財務金融學刊

15卷2期（2007 / 06 / 30）

69 - 97

英文

相較於目前研究文獻結果，本文將動態連續時間模型代表性個人最適資產配置問題研究延伸至存在國際投資限制的經濟體系。在市場風險價格確定、固定相對風險趨避效用函數與簡化的國際投資限制存在的環境下，投資者面對此投資機會集合的最適避險組合，可分為三個不同的投資組合，由可投資的銀行帳戶、股票與債券所建構組成。第一個投資組合為傳統平均值－變異數投資組合，第二個投資組合稱為可規避風險的投資組合，第三個投資組合則稱為人造的投資組合，該投資組合為模擬受到外國投資限制證券的預期超額報酬。

In contrast with the results of previous studies, we extend the research of the investor's portfolio allocation problem into a continuous dynamical international market where the investment barrier of international portfolio exists. With detenninistic market prices of risks, CRRA utility function and the existence of a simple investment barrier, the investor optimally hedges against the investment opportunity by allocating funds into three portfolios which are constructed by unconstrained bank accounts, stock indexes and bonds. The first portfolio is the so called mean-variance portfolio, the second is the hedge portfolio, and the third is the synthetic portfolio which mimics the expected excess return of the constrained security in foreign country.

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