| 信用债券的最优投资策略 |
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| 引用本文： | 卞世博,刘海龙,张晓阳.信用债券的最优投资策略[J].系统工程理论与实践,2012,32(12):2611-2618. |
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| 作者姓名： | 卞世博 刘海龙 张晓阳 |
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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;3. 中国工商银行 资产管理部, 北京 100140 |
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| 基金项目： | 国家自然科学基金(71273169);上海市教委科研创新项目(12YS154) |
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| 摘 要： | 研究了一个代表性投资者投资于信用债券、股票以及银行存款的最优配置问题. 利用简约化模型对信用债券进行定价, 并给出其价格的动态过程, 通过鞅方法给出了此优化问题的解析解. 结果表明: 只有当信用债券的跳跃风险溢价大于1, 即市场对跳跃风险进行风险补偿时, 投资者才会持有信用债券; 否则, 投资者对信用债券的最优投资为零.
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| 关 键 词： | 信用债券 简约化模型 跳跃风险 最优投资 鞅方法 |
| 收稿时间： | 2010-08-08 |
Optimal investment strategies for defaultable bond |
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| BIAN Shi-bo
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LIU Hai-long
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ZHANG Xiao-yang.Optimal investment strategies for defaultable bond[J].Systems Engineering —Theory & Practice,2012,32(12):2611-2618. |
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| Authors: | BIAN Shi-bo LIU Hai-long ZHANG Xiao-yang |
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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;3. Department of Asset Management, ICBC, Beijing 100140, China |
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| Abstract: | The problem of a representative investor how to optimally allocate her wealth among the following securities: A defaultable bond, a stock and a bank account was researched. Modeled the defaultable bond price through the reduced-form model and solved the dynamics of its price. Using martingale approach, obtained a closed-form solution to this optimal problem. From the solution it is clear that for a jump-risk premium greater than one, namely the market pricing the jump risk in the defaultable bond, the investor optimally invests a positive amount in the defaultable bond. On the other hand, the investor optimally invests nothing in the defaultable bond. |
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| Keywords: | defaultable bond reduced-form model jump risk optimal investment martingale approach |
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