市场风险与违约风险同时存在下的最优资产配置  

Optimal Asset Allocation with Market Risk and Default Risk

作　　者：卞世博[1] 刘海龙[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：《管理工程学报》2013年第1期160-165,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70773076;70831004z);上海市教委科技创新资助项目(12YZ154)

摘　　要：本文研究了当投资者同时面临市场风险(利率风险)和违约风险时,如何对可违约债券、国债、股票以及银行存款进行最优配置的问题。利用简约化模型来刻画可违约债券的违约风险,并给出其价格的动态方程。通过鞅方法给出了此优化问题的解析解,结果表明:股票的最优投资策略与Merton模型的结果相同;国债的最优投资策略是利率风险溢价的增函数;可违约债券的最优投资策略与跳跃(违约)风险溢价密切相关,只有当可违约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,投资者才会持有可违约债券;否则,投资者对可违约债券的最优投资为零。The emergence of default risks, such as subprime mortgage crisis, Dubai credit crisis, and European sovereign debt crisis, has become an additional risk to market risks. It is important to understand how risk investors optimally allocate their wealth in the face of both market （ e. g. interest rae risk） and default risks. Default risk is the possibility that counterparty in a financial contract fails to fulfil a contractual commitment. Many financial instruments, including defautable bonds, vulnerable claims, and credit derivatives, are defauh-risk sensitive. This study investigates how investors allocate their wealth in four investment tools, including defauhable bond, stock, treasury, money market account in order to maximize the expect utility of their terminal wealth with a stochastic term structure for interest rates. Using Ito＇s Lemma formula, we assess the dynamics of defaultable bond, stock, treasury, and the money market account. Using the Martingale approach, we can derive optimal solutions to assess market and default risks by assuming that the utility is constant absolute risk aversion utility （CARA）. If the utility function is CARA, the optimal strategy for stocks will have the ＂myopic＂ effect. The optimal strategy for treasuries is an increasing function of the interest rate risk premium. In another word, an investor will purchase more treasuries when the interest rate risk premium is increased. When the jump-risk premium is greater than one, investors will optimally invest in the defaultable bond because optimal strategy for the defaultable bond is an increasing function of the jump-risk premium. Holding other factors constant, investors purchase more defaultable bonds when the price of the jump-risk is increased. The optimal strategy for defaultable bond is a decreasing function of the loss rate. The greater the loss rate the lower the investor can recover. The optimal strategy of defaultable bonds depends on the investment horizon. The investor allocates more when she has longer i

关 键 词：利率风险 违约风险 简约化模型 最优资产配置 鞅方法 

分 类 号：F830.42[经济管理—金融学]