Journal of Portfolio Management,Spring 2017, Vol. 43, No. 3: pp. 51-59

风险厌恶、噪音和最优投资

作者：Hj?rdis Hardardottir (The Lund University in Lund, Sweden-The Department of Economics), Frederik Lundtofte (The Lund University in Lund, Sweden- The Department of Economics).

摘要：与有效市场假说（EMH）相比，噪音市场假说（NMH）认为价格只不过是基本面价值的一个噪音指标而已。当NMH和EMH两个假说中有一个是正确的时候，作者依据另外一个假说来研究投资中确定等价收益率的损失。他们的研究表明，相比于当有效市场假说成立时根据噪音市场进行的投资而言，当噪音市场假说成立时根据有效市场假说进行投资产生的损失更大。并且，相比于风险厌恶的投资者而言，根据正确的假说来进行投资对风险偏好者更加重要。

Risk Aversion, Noise, and Optimal Investments

Hj?rdis Hardardottir (The Lund University in Lund, Sweden-The Department of Economics), Frederik Lundtofte (The Lund University in Lund, Sweden- The Department of Economics).

ABSTRACT

In contrast to the efficient market hypothesis (EMH), the noisy market hypothesis (NMH) asserts that prices are but noisy indications of fundamental values. The authors study losses in certainty equivalents of investing according to one hypothesis (NMH or EMH) when the other is true. Their findings suggest that, for reasonable parameter values, investing according to the EMH when the NMH is true yields lower losses than investing according to the NMH when the EMH is true. Further, investing according to the right hypothesis is much more important for risk-tolerant investors than for risk-averse investors.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.3.051

翻译：唐国梅