| 违约相关性下包含信用债券的最优投资组合 |
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| 引用本文： | 卞世博,刘海龙.违约相关性下包含信用债券的最优投资组合[J].系统工程理论与实践,2013,33(3):569-576. |
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| 作者姓名： | 卞世博 刘海龙 |
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| 作者单位： | 1. 上海立信会计学院 风险管理研究院, 上海 201620;
2. 上海交通大学 安泰经济与管理学院, 上海 200052 |
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| 基金项目： | 上海市教育委员会科研创新项目 |
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| 摘 要： | 研究了当信用债券之间的违约存在相关性时, 投资者配置于信用债券组合、股票(股指)和银行存款的最优投资组合问题. 利用简约化模型来刻画信用债券之间的违约相关性, 并推导出各资产价格的动态方程, 通过随机控制方法给出了此优化问题的解析解. 将违约相关性引入至投资组合并揭示了其对最优投资组合的影响是本文与以往文献的显著不同和主要创新.
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| 关 键 词： | 信用债券 最优投资组合 违约相关性 简约化模型 随机控制方法 |
| 收稿时间： | 2010-12-03 |
Optimal portfolio with defaultable bonds under default correlation |
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| BIAN Shi-bo
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LIU Hai-long.Optimal portfolio with defaultable bonds under default correlation[J].Systems Engineering —Theory & Practice,2013,33(3):569-576. |
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| Authors: | BIAN Shi-bo LIU Hai-long |
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| Institution: | 1. Risk Management Research Institute, Shanghai Lixin University of Commerce, Shanghai 201620, China;
2. Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China |
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| Abstract: | This paper researched a representative investor how to optimally allocate her wealth among the following securities: defaultable bonds portfolio, stock (stock index) and a bank account, when there is default correlation. Modeled the default correlation through a reduced-form model and solved the dynamics of assets price. Using stochastic control method, obtained a closed-form solution to this optimal problem. Bringing default correlation into investment portfolio and revealing its influence to optimal portfolio are key distinguishing features. |
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| Keywords: | defaultable bond optimal portfolio default correlation reduced-form model stochastic control method |
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