本文選題：違約風(fēng)險(xiǎn) + 簡(jiǎn)約化模型��； 參考：《管理工程學(xué)報(bào)》2012年03期

【摘要】：本文研究了當(dāng)存在違約風(fēng)險(xiǎn)時(shí),一個(gè)代表性投資者投資于一個(gè)可違約債券、股票以及銀行存款的最優(yōu)資產(chǎn)配置問題。利用簡(jiǎn)約化模型來刻畫可違約債券的違約風(fēng)險(xiǎn),并給出其價(jià)格的動(dòng)態(tài)過程。通過隨機(jī)控制方法給出了此優(yōu)化問題的解析解。結(jié)果表明跳躍(違約)風(fēng)險(xiǎn)的存在,使可違約債券的最優(yōu)投資策略不再是連續(xù)函數(shù)。當(dāng)可違約債券違約時(shí),投資者對(duì)可違約債券的持有量為零;當(dāng)債券未發(fā)生違約時(shí),投資者對(duì)可違約債券的最優(yōu)持有量主要受信用利差、違約強(qiáng)度以及投資期限的影響。
[Abstract]:In this paper, we study the optimal asset allocation problem of a representative investor investing in a defaultable bond, stock and bank deposit when there is default risk. The default risk of defaultable bonds is described by using the simplified model, and the dynamic process of its price is given. The analytical solution of the optimization problem is given by stochastic control method. The results show that the existence of jump (default) risk makes the optimal investment strategy of defaultable bonds no longer be a continuous function. When the defaultable bond defaults, the investor's holding amount of the defaultable bond is zero; when the bond does not default, the optimal holding amount of the defaultable bond is mainly affected by the credit spread, the default intensity and the investment term.
【作者單位】： 上海立信會(huì)計(jì)學(xué)院風(fēng)險(xiǎn)管理研究院;上海交通大學(xué)安泰經(jīng)濟(jì)與管理學(xué)院;
【基金】：上海市教育委員會(huì)科研創(chuàng)新項(xiàng)目(12YS154)
【分類號(hào)】：F830.59;F224

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本文編號(hào)：2017898