通貨膨脹風險、學習機制與策略性資產配置

Campbell和Viceira（2001）將通貨膨脹風險納入跨期投資，結論市場缺乏通膨連動投資標的時，投資人將減碼長債之持有。但其未考慮通膨動態過程之參數不確定性。Xia（2001）發現投資人忽視利用估計資產報酬之不確定性下，會錯失市場時機而產生機會成本，故利用學習機制更新股價估計。本文將通膨學習機制納入跨期資產配置，提出依學習機制修正之投資策略可顯著增加財富效用，並分析其影響程度，結論如下：（1）學習機制將隨通膨瞬間波動度增加而顯著正向影響財富效用，投資期間較長及風險趨避程度高之投資人，學習機制影響越顯著。（2）消費者物價指數瞬間波動度與通膨估計誤差變異數增加時，學習機制可增加投資人之期末期望財富與效用值，但效用改善率隨波動度與變異數增加而下降。

關鍵字

投資期限；財富效用；波動度；風險趨避；改善率

並列摘要

Campbell and Viceira (2001) were the first to incorporate inflation risk into the optimal portfolio problem and found that the investor decreased the holding weights of long term bonds in the absence of inflation-linked underlying assets. Xia (2001) found that opportunity cost was significantly substantial when investors ignored the learning mechanism of uncertainty parameters and used the learning method to predict the parameter of the dynamics of stock price. In this study, we not only show that the learning process increases the utility value of terminal wealth, but also analyze the effect of learning process on the expected utility value of terminal wealth. The results are as follows. 1. Investment horizon, instantaneous volatility of inflation rate and risk attitude positively affects the learning process on the terminal wealth and its expected utility. The effects are more significant when the investment horizon, volatility and risk-averse attitude increase. 2. When volatility of the consumer price index and the estimation error increase, the learning ability enhance the expected wealth and utility. However, the improvement rate of utility decrease since investors becomes hardly learn from the inflation rate.

並列關鍵字

Time horizon ； expected utility ； volatility ； risk averse ； improvement rate

參考文獻

Barberis, N.(2000).Investing for the Long Run when Returns are Predictable.Journal of Finance.55,225-264.

Google Scholar

Basel, M.A.,Ahmad, S.A.A.,Wafaa, M.S.(2004).Modelling the CPI Using a Lognormal Diffusion Process and Implications on Forecasting Inflation.Journal of Management Mathematics.15,39-51.