管理评论

›› 2019, Vol. 31 ›› Issue (6): 23-35.

• 经济与金融管理 • 上一篇    下一篇

基于O-U过程的基金配对资产动态管理策略研究

傅毅1, 张寄洲1, 郭润楠2   

  1. 1. 上海师范大学商学院, 上海 200234;
    2. 上海师范大学数理学院, 上海 200234
  • 收稿日期:2016-12-27 出版日期:2019-06-28 发布日期:2019-07-08
  • 作者简介:傅毅,上海师范大学商学院副教授,硕士生导师,博士;张寄洲,上海师范大学商学院教授,硕士生导师,博士;郭润楠,上海师范大学数理学院硕士研究生。
  • 基金资助:

    教育部人文社会科学研究青年基金项目（17YJCZH044）。

Study of Dynamic Management Strategy of Fund's Paired Assets Based on the O-U Process

Fu Yi1, Zhang Jizhou1, Guo Rennan2   

  1. 1. School of Finance and Business, Shanghai Normal University, Shanghai 200234;
    2. Mathematics and Science College, Shanghai Normal University, Shanghai 200234
  • Received:2016-12-27 Online:2019-06-28 Published:2019-07-08

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摘要：

配对交易是一种市场中性投资策略，自从其投入实战以来，已经受到了投资者的广泛认可。本文假设配对资产价差服从Ornstein-Uhlenbeck （O-U）过程，考虑基金管理者同时管理多个配对资产，在到期投资组合财富效用最大化的目标下，建立了高维动态配对资产的管理策略模型。为了对模型求解，本文运用动态规划原理，推导得到了模型值函数对应的HJB方程，通过分离变量法求得了该方程的显式解，即模型的最大财富效用与最优管理策略。最后，为了对模型结果进行检验，本文对国内证券市场的配对资产进行了动态模拟，并进而分析了文中策略的有效性和稳健性。

关键词: 配对交易, 资产管理, 随机控制, HJB方程

Abstract:

As a market neutral strategy, pairs trading has been widely accepted by investors. In this paper, the spreads of risk assets are assumed to be Ornstein-Uhlenbeck (O-U) process, and the portfolio of the fund is assumed to be composed by multiple paired assets. Based on the maximization of the wealth utility at the maturity, we establish a dynamic management strategy model for the high-dimensional paired assets. In order to solve the model, we use the Dynamic Programming Principle to derive the corresponding equation. After separating variables, we get an explicit solution of the equation, i.e., maximum wealth utility and the optimal management strategy are obtained. Finally, to verify the result, the strategies of paired assets in domestic securities market are simulated, and the effectiveness and robustness of the strategy are also further analyzed.

Key words: pairs trading, asset management, stochastic control, HJB equation