| 债券组合管理模型及其敏感性分析 |
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| 引用本文： | 李栓劳,张学东,徐成贤.债券组合管理模型及其敏感性分析[J].西安交通大学学报,2000,34(10). |
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| 作者姓名： | 李栓劳 张学东 徐成贤 |
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| 作者单位： | 西安交通大学,710049,西安 |
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| 基金项目： | 国家自然科学基金资助项目!(19971065) |
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| 摘 要： | 为了对金融机构的资产进行有效组合 ,使得资产和负债合理搭配 ,在不完全信息情形下 ,利用随机规划的定界技术 ,研究了资产负债管理模型参数的敏感性 ,分别得到了在随机利率和随机负债情形下极大效用函数的上、下界 ,进而确定了效用函数的活动范围 ,以此作为金融机构资产配置的参考依据
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| 关 键 词： | 不完全信息 债券组合 资产负债管理 敏感性分析 效用函数 |
Sensitivity Analysis of Bond Portfolio Management Model |
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| Li Shuanlao,Zhang Xuedong,Xu Chengxian.Sensitivity Analysis of Bond Portfolio Management Model[J].Journal of Xi'an Jiaotong University,2000,34(10). |
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| Authors: | Li Shuanlao Zhang Xuedong Xu Chengxian |
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| Abstract: | In order to effectively allocate assets and match assets with liabilities for financial institutions, parameter sensitivity of the bond portfolio management model with incomplete information is studied by means of the stochastic programming. Upper and lower boundary estimations of maximal utility function on final wealth in connection with stochastic interest rate are obtained. Moreover, the scope of maximal utility function is determined. The work could be used as a reference for financial institutions to allocate their assets. |
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| Keywords: | incomplete information bond portfolio assets liability management sensitivity analysis utility function |
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