경기주기와 베이지안 학습(Bayesian learning) 기법을 고려한 개인의 자산관리 연구
Portfolio Management with the Business Cycle and Bayesian Learning
박세영(포항공대); 이현탁(POSTECH); 이유나(한국산업은행); 장봉규(포항공과대학교)
39권 2호, 49~66쪽
초록
This paper studies optimal consumption and investment behaviors of an individual when risky asset returns andher income are affected by the business cycle. The investor considers the incomplete information risk of unobservablemacroeconomic conditions and updates her belief of expected risky asset returns through Bayesian learning. We findthat the optimal investment strategy, certainty equivalent wealth, and portfolio hedging demand significantly dependon the belief about the macroeconomic conditions.
Abstract
This paper studies optimal consumption and investment behaviors of an individual when risky asset returns andher income are affected by the business cycle. The investor considers the incomplete information risk of unobservablemacroeconomic conditions and updates her belief of expected risky asset returns through Bayesian learning. We findthat the optimal investment strategy, certainty equivalent wealth, and portfolio hedging demand significantly dependon the belief about the macroeconomic conditions.
- 발행기관:
- 한국경영과학회
- 분류:
- 경영학