最適資產配置問題：考慮資產流動性

Optimal Asset Allocation under the Liquidity Constraint

張士傑(Shih-Chieh Bill Chang) ； 杜昌燁(Chang-ye Tu)

《風險管理學報》 20卷2期 (2018/12) Pp. 85-105

摘要

本文研究考慮資產流動性與交易成本的最適資產配置問題：給定由高流動性、低報酬與低流動性、高報酬兩種資產組成並存在資產互轉交易成本之市場，資產有下界且保費收入滿足雙態Poisson隨機過程之條件下，藉由數值求解相伴的Hamilton-Jacobi-Bellman（HJB）方程式獲得不同保費收入與各資產規模水平之最適分紅與提存規則。

關鍵字

最適資產配置問題 ； Hamilton-Jacobi-Bellman（HJB）方程式 ； 資產流動性 ； 交易成本

並列摘要

We investigate the optimal asset allocation problem under the consideration of liquidity and transaction costs. Given the portfolio endowed with a liquid asset, an illquid one, and an exdogenous income process which obeys the two-state Poisson distribution, the optimal consumption and deposit rule is obtained by imposing the transcation cost mechanism and the asset value constraints and solving the corresponding HJB equation numerically.

並列關鍵字

optimal asset allocation problem ； liquidity ； transaction cost ； Hamilton-Jacobi-Bellman (HJB) equation

參考文獻

Bardi, M., Capuzzo-Dolcetta, I., 1997. Optimal Control and Viscosity Solutions of Hamilton-Jacobi Bellman Equations. Birkhäuser, Boston.

Barles, G., Daher, C., Romano, M., 1995. Convergence of numerical schemes for parabolic equations arising in finance theory. Mathematical Models and Methods in Applied Sciences 5, 125-143.

Barles, G., Souganidis, P. E., 1991. Convergence of approximation schemes for fully nonlinear second order equations. Asymptotic Analysis 4, 271-283.

Chang, S. C., Li, Y. F., 2004. Optimal portfolio decisions in pension fund management. Journal of Management 21, 279-290.

Chang, S. C., Tsai, C. H., Hung, L. C., 2005. Incorporating foreign equities in the optimal asset allocation of an insurer with the consideration for background risks: Model and numerical illustrations. Asia-Pacific Journal of Risk and Insurance 1, 1-22.