考虑相关性风险的跨期投资组合选择问题研究进展

摘要

投资组合选择问题一直是金融界研究的基本问题之一.首先,根据不同时期国内外学者的研究成果,介绍了投资组合选择问题的研究现状;其次,详细介绍了带有相关性风险的跨期投资组合选择问题的研究现状,并给出了多风险资产收益的方差-协方差矩阵是随机情形下的模型;最后,对跳扩散、通货膨胀以及Knight不确定情形下相关性风险的跨期投资组合选择问题的未来研究进行了展望分析.%The portfolio choice problem is always one of the basic problems in the study of financial circles.Firstly, this paper,based on the study results of domestic and foreign scholars in different periods,introduces the study status of the portfolio choice problems.Secondly,the research situation of intertemporal portfolio choice problems of correlation risk is clearly introduced and stochastical variance covariance matrix model of the risky asset return is given.Finally,in the jump diffusion, inflation and knightian uncertainty situation, the future research of intertemporal portfolio choice problems of correlation risk are analysed.