泡沫演变过程中的资产价格行为与投资组合管理研究

Asset price bubbles will intensify financial market volatility, harm the market stability, even induce financial crisis. On the basis of hypothesis that asset price obey Wiener process for traditional finance, our study builds the asset price equation containing bubbles, then uses state space model and Kalman filter methods to estimate the level of bubbles, which by introducing bubbles to change rate of return characteristics of the price equation, and tests the effectiveness and robustness of the estimation method. Simultaneously, we build multiple asset bubble spin systems in order to establish critical points of bubble state transition by establishing the mapping relationship between bubble evolution characteristics and market factors from the viewpoints of system dynamics. We seek for optimum control approach to prevent bubble from collapsing through studying bubble dynamic system response curves based on numerical theory and simulation. On this basis, the research attempts to investigate asset pricing under the condition of bubble evolution, discuss the relationship between bubble and investor behavior as well as asset price behavior. Finally, based on the theory of mean-variance, we researches how bubble evolution affects effective border on portfolio, and builds risk metrics containing bubble components to examine the portfolio problem with bubbles. This study attempts to provide theoretical basis for investors to strengthen risk management, meanwhile, help regulators to take targeted measures on how to prevent the asset price bubble and optimize capital market system.

资产价格泡沫会加剧金融市场波动，甚至引发金融危机，危害市场稳定。本课题拟在资产价格服从布朗运动的基础上，通过引入泡沫成分改变价格方程的收益率项特征，构建包含泡沫的资产价格方程，进而利用状态空间模型和卡尔曼滤波等方法估计泡沫水平，并检验估计方法效果和鲁棒性。同时，从系统动力学角度建立泡沫演变特征与市场因素间的映射关系，构建多资产泡沫自旋系统，确立泡沫状态转变临界时点。借助数值理论与仿真模拟研究泡沫动力系统的状态响应曲线，寻找防止泡沫崩溃的最优控制方法。在此基础上，研究泡沫演变条件下的资产定价问题，探讨泡沫与投资者行为及资产价格行为之间的关系。最后，基于均值-方差理论探寻泡沫演变过程对投资组合有效边界的影响，构建含有泡沫成分的风险度量指标，深入研究泡沫条件下投资组合问题。本课题力图为投资者加强风险管理提供理论依据，帮助监管者制定有针对性的泡沫防范措施，完善资本市场制度建设。

2016年伊始，全球资本市场巨幅波动，众多国家都掀起了通缩潮，“泡沫”一词又被广泛提及。实质上，金融泡沫一直吸引着学者们的广泛重视，这主要是以下三个原因造成的：首先，泡沫是一个潜在、较难观测的变量，并且在演变过程中呈现不同状态，对它进行准确度量一直是困扰理论界与投资实务界的难题；其次，泡沫的形成、演变、膨胀直至破裂是个系统动力学过程，多重因素下的复杂过程需深入挖掘；最后，泡沫的存在会改变市场原有的资产价格形成过程，为了更有效地管理极端市场风险，对泡沫的研究必不可少。.资产价格泡沫会加剧金融市场波动，甚至引发金融危机，危害市场稳定。本课题在资产价格服从布朗运动的基础上，通过引入泡沫成分改变价格方程的收益率项特征，构建包含泡沫的资产价格方程，进而利用状态空间模型和卡尔曼滤波等方法估计泡沫水平，并检验估计方法效果和鲁棒性。在此基础上，我们研究了泡沫演变条件下的资产定价问题，探讨泡沫与投资者行为及资产价格行为之间的关系。最后，基于均值-方差理论探寻泡沫演变过程对投资组合有效边界的影响，构建含有泡沫成分的风险度量指标，深入研究泡沫条件下投资组合问题。