基于模糊厌恶视角的最优固定利率与可变利率贷款组合决策行为研究  

The Research on Decision-Making Behaviors of Optimal Fixed and Variable Rate Loan Portfolio Based on the View of Ambiguity Aversion

作　　者：李华文[1] 程文 LI Hua-wen;CHNG Wen(Yunnan Branch,China Telecom Co.,Ltd,Kunming 650118,China;Risk Management Department,China Huarong Asset Management Co,Ltd. Beijing 100033,China)

机构地区：[1]中国电信股份有限公司云南分公司,云南昆明650118 [2]中国华融资产管理股份有限公司风险管理部,北京100033

出　　处：《数学的实践与认识》2019年第13期1-8,共8页Mathematics in Practice and Theory

基　　金：中国博士后科学基金面上项目“基于高阶混合风险厌恶视角的金融决策与应用研究”(2016M600271)

摘　　要：分析具有对边际融资成本不确定性存在模糊信念的竞争性商业银行的最优固定利率与可变利率贷款组合决策行为.采用银行的期望收益的正斜率和凹函数表示其模糊厌恶偏好.导出银行可变利率贷款占优于固定利率贷款的条件.表明,如果银行可以同时做出固定利率贷款和可变利率贷款组合决策,那么两类贷款的总额既不取决于银行的模糊厌恶偏好,也不取决于融资成本的不确定性风险.结论指出,银行的模糊厌恶成度的增加将引起其对企业发放更少固定利率贷款和更多可变利率贷款.因此,银行的模糊厌恶偏好在对企业的固定利率和可变利率贷款组合的最优决策行为中起着至关重要的作用.This paper analyzes optimal fixed and variable rate loans for an ambiguity-averse competitive lender with ambiguity on marginal funding cost uncertainty.The lender's ambigu ity aversion is characterized by a positively sloping and concave value function of her expected profit.We derive the conditions for the dominance of variable rate loans over fixed rate loans.The paper points out that,provided the lender optimally issues both fixed and variable rate loans,the total amount of loans depends neither on the lender's ambiguity aversion nor on the funding cost uncertainty.Our conclusion shows that,greater degree of ambiguity aversion will induce the lender to issue less fixed rate loans and to issue more variable rate loans.Am biguity aversion as such plays a vital role in the lender's optimal behavior decisions on fixed and variable rate loans.

关 键 词：固定利率 可变利率 模糊厌恶 贷款组合 不确定性决策 

分 类 号：F830.5[经济管理—金融学]