安全首要准则下的借贷约束与不确定风险投资  

SAFETY-FIRST PRINCIPLE FOR CONSTRAINTS OF BORROWING/LENDING AND RISKY INVESTMENT

作　　者：丁元耀[1] 卢祖帝[2] 

机构地区：[1]宁波大学商学院,宁波315211 [2]南安普顿大学数学科学院统计科学研究所

出　　处：《系统科学与数学》2015年第12期1529-1545,共17页Journal of Systems Science and Mathematical Sciences

基　　金：浙江省自然科学基金(LY12G01006);国家教育部人文社会科学规划基金(15YJA910004)资助课题

摘　　要：概率统计的理论与方法在不确定性投资决策中起着重要的作用.文章从安全首要的决策视角,分析信贷约束对投资者风险投资行为是否存在影响以及如何影响.在存款利率和贷款利率不等且存在贷款额度限制的融资背景下,首先建立了一种包含融资资产的改进型安全首要(MSF)投资组合选择模型,然后给出了最优投资组合以及MSF有效前沿的解析表示以及图形示例,进而解释了利率变化和贷款限制对MSF风险投资行为的影响.研究发现:提高贷款利率和设定贷款限制,既可以预防投资者的违约风险,也可能造成MSF投资者的投资效率损失.因此,合理调整存贷款利率与设定贷款限额有助于发挥货币政策对投资市场的有效调节作用.Probabilistic and statistical methods play an important role in risky investment decision-making.Under the safety-first decision principle,this paper will analyze how the credit constraints affect the risky investment behaviors by an investor.Under the setting of financing with different interest rates for borrowing and lending and with an upper limit on borrowing risk-free capital,a modified safetyfirst（MSF） portfolio selection model is set up.Analytical solutions for the optimal portfolios and the MSF efficient frontiers are established with graphical illustrations.Furthermore,the impacts on the investment behavior,of changing the interest rates and the limit on borrowing risk-free asset,are investigated.We find that increasing interest rate and imposing an upper limit on borrowing can help to prevent investors from the default risk,and monetary policy therefore play an effect on investment market by properly adjusting the interest rates for borrowing or lending and limiting the borrowing of risk-free capital.

关 键 词：不确定性投资决策 投资组合 安全首要 信贷约束 有效前沿 

分 类 号：F832.4[经济管理—金融学] O211[理学—概率论与数理统计]