动态投资组合选择问题的显式解：连续时间迂回
Explicit solution to dynamic portfolio choice problem : The continuous-time detour
摘要：
本文解决了动态投资组合选择问题。使用一个显式的解决方案与电力公司，我们构建了一个桥梁之间的连续和离散VAR模型来评估投资组合的敏感性。我们发现，从一个很好的分析例子，股票的最优配置是特别敏感的夏普比率。我们的定量分析强调，这种敏感性增加时，风险厌恶减少和/或时间范围增加。这一发现解释了离散数值方法的低精度，特别是沿着状态变量的无条件分布的尾部。
英文摘要：
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed example that the optimal allocation to stocks is particularly sensitive to Sharpe ratio. Our quantitative analysis highlights that this sensitivity increases when the risk aversion decreases and/or when the time horizon increases. This finding explains the low accuracy of discrete numerical methods especially along the tails of the unconditional distribution of the state variable.
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