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中文摘要：
通常的投资建议和两基金分离定理之间存在较大差异,这就是著名的Canner难题.以股票、银行账户和债券作为可以交易的资产,采用了由通货膨胀和实际利率定义的仿射利率期限结构模型,对最优资产配置问题进行了研究,得出最优的资产配置方案.通过对该方案实例分析,对投资建议和两基金分离定理之的差异给出了合理的解释,分析指出,投资期限和风险厌恶水平对投资策略的选择有很重要的影响.
英文摘要：
The advices of popular investment advisors are apparently inconsistent with the Separation Theorem; it is the so-called Canner Puzzle. Considering a market with a stock, cash and nominal bonds, this paper provides the optimal asset allocation strategies in nominal wealth. Uncertainty about future interest rates is represented by the affine term structure model . The solutions is given and the economic significations are analyzed by theoretic and illustrative calculations. The rational explications of the diversities between the popular investment advices and the Separation Theorem are given. The analysis points to the importance of considering investors＇ time horizons and level of risk aversion in analyzing optimal portfolio policies.
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