本文關(guān)鍵詞： 簡(jiǎn)約化模型 信用債券 最優(yōu)投資策略 隨機(jī)控制方法 鞅方法　出處：《上海交通大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：信用債券是依靠債券發(fā)行者的信用為基礎(chǔ)發(fā)行的固定收益類金融工具，主要包括：企業(yè)債、公司債、中期票據(jù)、短期融資券、可轉(zhuǎn)換債券、可分離債及資產(chǎn)支持證券等。信用債券是企業(yè)融資和金融市場(chǎng)投資的重要工具，其特殊的地位和性質(zhì)已經(jīng)逐步引起學(xué)術(shù)界的廣泛關(guān)注和政府的高度重視。 目前，國(guó)內(nèi)外學(xué)者對(duì)信用債券的研究主要集中于定價(jià)領(lǐng)域，很少有文獻(xiàn)涉及信用債券最優(yōu)投資策略的研究。因此，對(duì)信用債券最優(yōu)投資策略的研究，不僅可以在理論上豐富和完善動(dòng)態(tài)投資組合理論，而且可以在實(shí)踐中為投資者如何最優(yōu)配置信用債券提供指導(dǎo)依據(jù)。 本文主要從以下幾方面對(duì)信用債券的最優(yōu)投資策略進(jìn)行了研究： （1）研究了跳躍風(fēng)險(xiǎn)溢價(jià)與信用債券最優(yōu)投資策略之間的關(guān)系。在簡(jiǎn)約化模型的框架下，，對(duì)信用債券進(jìn)行定價(jià)，并推導(dǎo)出其價(jià)格的動(dòng)態(tài)過程。假設(shè)投資者的效用函數(shù)為對(duì)數(shù)效用函數(shù)和CRRA效用函數(shù)，利用隨機(jī)控制方法得到了最優(yōu)投資策略的解析解。結(jié)果表明：當(dāng)投資者的效用函數(shù)為對(duì)數(shù)效用函數(shù)時(shí)，投資者對(duì)信用債券的最優(yōu)投資策略只和跳躍風(fēng)險(xiǎn)溢價(jià)以及違約損失率有關(guān)，且只有當(dāng)跳躍風(fēng)險(xiǎn)溢價(jià)大于1，即市場(chǎng)對(duì)跳躍風(fēng)險(xiǎn)進(jìn)行風(fēng)險(xiǎn)補(bǔ)償時(shí)，投資者才會(huì)持有信用債券，并且最優(yōu)持有量隨著跳躍風(fēng)險(xiǎn)溢價(jià)的增加而增加。當(dāng)投資者的效用函數(shù)為CRRA效用函數(shù)時(shí)，投資者對(duì)信用債券的最優(yōu)投資策略是跳躍風(fēng)險(xiǎn)溢價(jià)和投資期限的增函數(shù)，此外還是違約損失率和違約強(qiáng)度的減函數(shù)。 （2）研究了當(dāng)工資為一個(gè)隨機(jī)過程時(shí)，企業(yè)年金如何對(duì)信用債券、股票以及銀行存款進(jìn)行最優(yōu)配置的問題。假設(shè)企業(yè)年金的投資目標(biāo)為基于最終財(cái)富的期望效用最大化，利用鞅方法得到了最優(yōu)投資策略的解析解。結(jié)果表明：企業(yè)年金的最優(yōu)投資策略由三部分組成，投機(jī)策略、工資的收入效應(yīng)對(duì)沖策略以及工資的隨機(jī)效應(yīng)對(duì)沖策略。 （3）假設(shè)投資組合中的信用債券之間的違約存在相關(guān)性，在隨機(jī)利率的條件下研究了投資者配置于信用債券組合、國(guó)債、股票和銀行存款的最優(yōu)投資組合問題。利用簡(jiǎn)約化模型來刻畫信用債券之間的違約相關(guān)性，并推導(dǎo)出各資產(chǎn)價(jià)格的動(dòng)態(tài)過程；通過假設(shè)投資者的效用函數(shù)為CARA效用函數(shù)，利用鞅方法給出了此優(yōu)化問題的解析解。結(jié)果表明：股票的最優(yōu)投資策略與Merton問題的結(jié)果是一致的，國(guó)債的最優(yōu)投資策略主要受利率風(fēng)險(xiǎn)溢價(jià)的影響，信用債券的最優(yōu)投資策略相對(duì)復(fù)雜。當(dāng)信用債券之間的違約相互獨(dú)立時(shí)，某一信用債券的最優(yōu)投資策略與其對(duì)應(yīng)的沖擊事件的跳躍風(fēng)險(xiǎn)溢價(jià)、違約損失率、違約強(qiáng)度、剩余投資期限以及風(fēng)險(xiǎn)規(guī)避系數(shù)有關(guān)。當(dāng)信用債券之間的違約存在相關(guān)性時(shí)，某一信用債券的最優(yōu)投資策略將受到與其相關(guān)的沖擊事件的跳躍風(fēng)險(xiǎn)溢價(jià)、違約損失率、違約強(qiáng)度、剩余投資期限以及風(fēng)險(xiǎn)規(guī)避系數(shù)的影響，而且有可能出現(xiàn)被賣空的情況。 本文的主要?jiǎng)?chuàng)新點(diǎn)： （1）揭示了跳躍風(fēng)險(xiǎn)溢價(jià)對(duì)信用債券最優(yōu)投資策略的影響 以往對(duì)信用債券最優(yōu)投資策略的研究均基于投資者分散持有大量的相互獨(dú)立的信用債券組合以滿足“條件分散性”的假設(shè)下展開的。一個(gè)滿足“條件分散性”假設(shè)的信用債券組合將不再具有跳躍風(fēng)險(xiǎn)（跳躍風(fēng)險(xiǎn)已被組合分散掉），因而，這些研究也就無法揭示跳躍風(fēng)險(xiǎn)溢價(jià)對(duì)最優(yōu)投資策略的影響。實(shí)際上，一個(gè)滿足“條件分散性”假設(shè)的信用債券組合并不存在，因?yàn)檫@個(gè)組合所要包含的債券數(shù)量需要趨近于無窮。大量的實(shí)證研究也表明跳躍風(fēng)險(xiǎn)溢價(jià)顯著地存在于信用債券市場(chǎng)。因此，在現(xiàn)實(shí)中跳躍風(fēng)險(xiǎn)是投資者投資于信用債券時(shí)無法回避的風(fēng)險(xiǎn)。 針對(duì)此不足，本文研究了一個(gè)代表性投資者投資于一個(gè)信用債券、股票以及銀行存款時(shí)的最優(yōu)資產(chǎn)配置問題。由于假設(shè)投資者僅投資一個(gè)信用債券，因而信用債券的跳躍風(fēng)險(xiǎn)依然存在，通過對(duì)其資產(chǎn)配置策略的研究，可以更好地理解跳躍風(fēng)險(xiǎn)溢價(jià)對(duì)信用債券最優(yōu)投資策略的影響。 （2）揭示了違約相關(guān)性對(duì)信用債券最優(yōu)投資策略的影響 已有文獻(xiàn)對(duì)信用債券組合的最優(yōu)投資策略進(jìn)行了研究，但遺憾的是，為了模型的簡(jiǎn)便，這些文獻(xiàn)均假設(shè)資產(chǎn)組合中信用債券之間的違約相互獨(dú)立。但現(xiàn)實(shí)中，信用債券之間的違約往往并不是相互獨(dú)立的，而是存在一定的違約相關(guān)性。 為了使所研究的問題更符合實(shí)際，本文假設(shè)投資組合中的信用債券之間的違約存在相關(guān)性，在簡(jiǎn)約化模型的框架下，研究了隨機(jī)利率條件下投資者配置于信用債券組合、國(guó)債、股票和銀行存款的最優(yōu)投資組合問題。將違約相關(guān)性引入至投資組合并揭示了其對(duì)最優(yōu)投資策略的影響是本文與以往文獻(xiàn)的另一顯著不同和主要?jiǎng)?chuàng)新。 （3）給出了非自融資策略下信用債券的最優(yōu)投資策略 目前有關(guān)信用債券最優(yōu)投資策略的研究，均是以投資者的投資策略為自融資策略展開的，即假設(shè)投資者在投資期限內(nèi)，除了初始財(cái)富外并沒有額外的資金進(jìn)出。這一關(guān)鍵性的假設(shè)顯然不適合企業(yè)年金、養(yǎng)老基金、保險(xiǎn)公司、開放式基金等機(jī)構(gòu)投資者的投資策略。鑒于此，本文以企業(yè)年金為例，放松了自融資策略的假設(shè)，研究了企業(yè)年金對(duì)信用債券的最優(yōu)投資問題，以豐富和完善企業(yè)年金最優(yōu)資產(chǎn)配置策略以及信用債券最優(yōu)投資策略的理論研究。
[Abstract]:Credit bond is a fixed income financial instruments, bond issuers rely on credit to issue mainly include: corporate bonds, corporate bonds, medium-term notes, short-term financing bonds, convertible bonds, bonds and asset-backed securities can be separated. The credit bond is an important tool for enterprise financing and financial market investment, its status and the special nature has gradually aroused a wide attention of government and academic circles.
At present, the research on credit bonds at home and abroad mainly focus on pricing field, there are few research literature related to optimal investment strategy for the defaultable bond. Therefore, the research on the optimal investment strategy for the defaultable bond, can not only enrich and perfect the dynamic investment portfolio theory in theory, but also can provide guidance for the investors to optimal allocation of credit the bond in practice.
This paper mainly studies the optimal investment strategy of credit bond from the following aspects:
(1) to study the relationship between the jump risk premium and the optimal investment strategy for the defaultable bond. In the framework of simplified model, the pricing of credit bonds, and deduced the dynamic process of its price. The utility function assumes that investors are logarithmic utility function and CRRA function, using the stochastic control method to obtain the optimal investment analysis solution. The results show that when the utility function of investors for the logarithmic utility function, the optimal investment strategy of credit bond investors only jump risk premium and default loss rate, and only when the jump risk premium is greater than 1, namely the market risk compensation for jump risk, investors will hold credit bonds, and the optimal holdings increased with the jump risk premium. When the utility function of investors for the CRRA utility function, the optimal investment strategy of credit bond investors It is an increasing function of the jump risk premium and the term of investment, in addition to the loss rate of default and the reduction function of the strength of default.
(2) studied when the salary is a stochastic process, the enterprise annuity to credit bonds, optimal allocation problems of stock and bank deposits. If the enterprise annuity investment to maximize the expected utility of the terminal wealth. Using the martingale method to derive the analytical solutions of the optimal investment strategy. The results show that the optimal the investment strategy of the enterprise annuity is composed of three parts, speculative strategy, hedging strategies of wage income effect and wages random effects of hedging strategies.
(3) assuming that portfolio of credit bonds default correlation between bonds in the stochastic interest rate is studied under the condition of investors configuration in the portfolio, credit bonds, the optimal portfolio of stock and bank deposits. Using the simple model to describe the default correlation between credit bonds, and deduced the dynamic process of each asset the price of the utility function; by assuming that investors for the CARA utility function, given the use of the martingale method and the analytical solution of this optimization. The results show that the stock of the optimal investment strategy and the Merton problem is consistent with the results, the optimal investment strategy of treasury bonds is mainly affected by the interest rate risk premium, the optimal investment strategy of credit bonds is relatively complex when the credit default bonds between the independent, impact events a credit bond optimal investment strategy and the corresponding jump risk premium, default The loss rate, default intensity, the remaining period of investment and risk aversion coefficient. When the default correlation between credit bonds, the optimal investment strategy of a credit bonds will impact the events related to jump risk premium, default loss rate, default intensity, influence of residual investment period and the coefficient of risk aversion, and likely to be short.
The main innovation points of this article are:
(1) the impact of jumping risk premium on the optimal investment strategy of credit bonds is revealed.
The past research on the optimal investment strategy for the defaultable bond investors are dispersed hold a large number of independent credit bond portfolio to meet the "condition based on dispersion under the hypothesis of expansion. A" meet the conditions of the dispersion of credit bond portfolio "hypothesis will no longer have the jump risk (jump risk portfolio has been so)., these studies did not reveal the effect of jump risk premium on the optimal investment strategy. In fact, a" meet the conditions of the dispersion of credit bond portfolio "hypothesis does not exist, because the number of bond portfolio to include the need to tend to infinity. A large number of empirical studies also show that the jump risk premium significantly in credit bonds in the market. Therefore, the jump risk investors to invest in credit bonds can not be avoided.
To solve this problem, this paper studied an investor to invest in a stock of credit bonds, bank deposits and the optimal asset allocation problem. Due to the assumption that investors invest only a credit bonds, and credit bonds jump risk still exists, through the study on the asset allocation strategy, you can better understand the effect of jump the risk premium on the optimal investment strategy for the defaultable bond.
(2) the influence of default relevance on the optimal investment strategy of credit bonds is revealed.
The optimal investment strategy of the portfolio credit bonds have studied the literature, but unfortunately, in order to model simple, these papers assume that default between credit bonds in a portfolio of assets are independent of each other. But in reality, the bond between the credit default are not independent of each other, but there is default correlation.
In order to make the study more practical problems, we assume that the default correlation between the portfolio of credit bonds exist in the framework of simplified model, studied under the condition of random interest rates investors configuration in the portfolio, credit bonds, the optimal portfolio of stock and bank deposits. The default correlation into investment portfolio and reveal its influence on the optimal investment strategy in this paper is from the previous literature a significantly different and the main innovation.
(3) the optimal investment strategy of credit bonds under non self financing strategy is given.
At present the research on the optimal investment strategy for the defaultable bond, are based on the investment strategy for investors to expand self financing strategy, assuming that investors in the investment period, except the initial wealth and no additional funds out. This hypothesis is not suitable for enterprise annuity, pension funds, insurance companies, institutional investors type of fund investment strategy. In view of this, based on the enterprise annuity as an example, relaxed self financing strategy that studies the optimal investment problem of credit bonds for enterprise annuity, in order to enrich and improve the enterprise annuity optimal asset allocation strategy and the optimal investment strategy for the defaultable bond theory research.

【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224

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