Optimal Investment with Noise Trading Risk

被引：3
|
作者：
Xu, Yunhui [1 ,2 ]
Li, Zhongfei [1 ]
Tan, Ken Seng [2 ,3 ]
机构：
[1] Sun Yat Sen Univ, Lingnan Coll, Guangzhou 510275, Guangdong, Peoples R China
[2] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
[3] Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China
来源：
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2008年 / 21卷 / 04期
基金：
美国国家科学基金会; 加拿大自然科学与工程研究理事会;
关键词：
Dynamic investment; noise trade; overlapping generation; serial correlation;
D O I：
10.1007/s11424-008-9132-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper investigates the optimal dynamic investment for an investor who maximizes constant absolute risk aversion (CARA) utility in a discrete-time market with a riskfree bond and a risky stock. The risky stock is assumed to present both the dividend risk and the price risk. With our assumptions, the dividend risk is equivalent to fundamental risk, and the price risk is equivalent to the noise trading risk. The analytical expression for the optimal investment strategy is obtained by dynamic programming. The main result in this paper highlights the importance of differentiating between noise trading risk and fundamental risk for the optimal dynamic investment.
引用
收藏
页码：519 / 526
页数：8
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