灵活收益保证设定形式下的最优投资策略  

Optimal investment strategies under flexible return guarantee

作　　者：王亦奇[1] 刘海龙[1] 刘富兵[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《系统工程理论与实践》2011年第6期1014-1020,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70773076)

摘　　要：研究了当前被广泛采用的收益保证下的最优投资策略问题.在HJM利率期限结构下,利用鞅方法得到了最优投资策略的解析解.最优投资策略的解包括三个部分:投机策略、利率对冲策略以及收益保证的对冲策略.这种收益保证设定形式给予了投资机构更为灵活的选择,相当于赋予了投资机构一个期权,所以在最优化问题中的目标函数与最优投资策略解中均出现了新的期权项,进一步丰富了现有的投资组合理论.最后对最优投资策略的动态行为进行了数值分析.we consider optimal investment problem with a more flexible return guarantee which is widely used currently.Using martingale method,we derive the explicit solution under the stochastic interest rate environment.The result shows that the optimal investment strategies include three parts：one is the speculative portfolio strategy,another is the hedge strategy for stochastic interest rate,the other is the hedge strategy for return guarantee.Because the return guarantee show great flexibility,which is equivalent to endow the fund manager with a option,both the objective function and the optimal solution incorporate a new option item,which enrich the existing investment portfoUo theory further.Finally,we take numerical analysis to the dynamic behavior of optimal strategies.

关 键 词：投资策略 最低收益保证 期权 鞅方法 

分 类 号：F832.48[经济管理—金融学]