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| 信用债券型基金的最优资产配置策略 | |
| 引用本文： | 卞世博,刘海龙,张晓阳.信用债券型基金的最优资产配置策略[J].系统管理学报,2012,21(5):596-601. |
| 作者姓名： | 卞世博 刘海龙 张晓阳 |
| 作者单位： | 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 |
| 基金项目： | 上海市教育委员会科研创新项目 |
| 摘 要： | 对信用债券型基金的最优资产配置策略进行了研究。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,通过随机控制方法求出了最优策略的解析解,揭示了跳跃风险溢价对最优策略的影响。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,投资基金才会持有信用债券;否则,投资基金对信用债券的最优投资为零。 |
| 关 键 词： | 信用债券 简约化模型 最优投资策略 随机控制 |
Optimal Investment Strategies for Defaultable Bond Fund |
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| BIAN Shi-bo , LIU Hai-long , ZHANG Xiao-yang.Optimal Investment Strategies for Defaultable Bond Fund[J].Systems Engineering Theory·Methodology·Applications,2012,21(5):596-601. | |
| Authors: | BIAN Shi-bo LIU Hai-long ZHANG Xiao-yang |
| Affiliation: | 1.Risk Management Research Institute,Shanghai Lixin University of Commerce,Shanghai 201620,China; 2.Antai College of Economics &Management,Shanghai Jiaotong University,Shanghai 200052,China; 3.Department of Asset Management,ICBC,Beijing 100140,China) |
| Abstract: | This paper is concerned with optimal investment strategies for defaultable bond fund.We model the defaultable bond price using the reduced-form model and provide the dynamics of its price.Using stochastic control methods,we obtain a closed-form solution to the optimal strategies,showing the impact of jump-risk premium on optimal strategies.By the solution we know that when a jump-risk premium greater than one,namely the market pricing the jump risk in the defaultable bond,the fund invests a positive amount in the defaultable bond,otherwise,the fund does not invest in the defaultable bond. |
| Keywords: | defaultable bond reduced-form model optimal investment strategies stochastic control |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |
