信用债券的最优投资策略  

Optimal investment strategies for defaultable bond

作　　者：卞世博[1] 刘海龙[2] 张晓阳 

机构地区：[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

出　　处：《系统工程理论与实践》2012年第12期2611-2618,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71273169);上海市教委科研创新项目(12YS154)

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.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.

关 键 词：信用债券 简约化模型 跳跃风险 最优投资 鞅方法 

分 类 号：F810.5[经济管理—财政学]