非自融资策略下信用债券的最优投资策略:以DC型企业年金为例  

Optimal investment strategy for the defaultable bond under non-self-financing strategy:A case study of DC enterprise annuity

作　　者：卞世博[1] 张熠[2] 周金花 BIAN Shi-bo ZHANG Yi ZHOU Jin-hua(School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China School of Public Economics and Administration, Shanghai University of Finance and Economics, Shanghai 200433, China Research Center of Business Administration, Shanghai Lixin University of Accounting and Finance, Shanghai 201620, China)

机构地区：[1]上海财经大学统计与管理学院,上海200433 [2]上海财经大学公共经济与管理学院,上海200433 [3]上海立信会计金融学院工商管理研究中心,上海201620

出　　处：《管理工程学报》2017年第2期194-199,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71301105;71503154);上海市哲学社会科学课题(2013EJB001)

摘　　要：以往对信用债券最优投资策略的研究,均是基于投资者的自融资策略展开的。本文放松了这一假设,研究了当工资为一个随机过程时,确定缴费型(DC)企业年金如何对信用债券、股票以及银行存款进行最优资产配置的问题。假设企业年金的投资目标为基于最终财富的期望效用最大化,利用鞅方法给出了此优化问题的解。The existing literature about the optimal investment strategy for the defaultable bond assumes that investors have a self-financial strategy. This key assumption is obviously not suitable for enterprise annuities, pension funds, open-end funds, insurance companies, and other institutional investors. In view of this, this paper removes the assumption of self-financing strategy, and studies the optimal investment strategy for the defaultable bond under non-self-financing strategy by using enterprise annuities. This study can enrich and improve the theory of defaultable bond optimal investment. We assume that enterprise annuity is defined-contribution （DC）, the salary is a stochastic process, and its investment set is a defaultable bond, a stock, and a bank account. The goal of DC enterprise annuity investment is to maximize the expected utility of terminal wealth by optimally allocating the wealth among these three securities. Using the martingale approach, we derive the general solutions for this optimal problem. In addition, we assume that the utility is constant absolute risk aversion utility （CARA）, and derives the close form solution of optimal investment strategy. From the solution, it is clear that enterprise annuity＇s optimal investment strategy for the defaultable bond is an increasing function of the jump-risk premium and the time to maturity. Enterprise annuity＇s optimalinvestment strategy for the defaultable bond is a decreasing function of the loss rate, the default intensity, and salary volatility. Through the simulation study, we find that there is a positive relationship between optimal investment in defaultable bond and jump-risk premium. By holding other factors constant, enterprise annuity purchases more defaultable bonds when the price of the jump-risk is greater. The optimal investment in the defaultable bond is increasing with an increasing rate when the jump-risk premium increases. When the loss rate is low, the marginal increase of the optimal investment strategy for the defaul

关 键 词：信用债券 最优投资策略 DC型企业年金 随机工资 鞅方法 

分 类 号：F830.42[经济管理—金融学]