存在违约风险时的最优资产组合

发布时间：2018-06-14 15:23

本文选题：违约风险 + 简约化模型　；参考：《管理工程学报》2012年03期

【摘要】：本文研究了当存在违约风险时,一个代表性投资者投资于一个可违约债券、股票以及银行存款的最优资产配置问题。利用简约化模型来刻画可违约债券的违约风险,并给出其价格的动态过程。通过随机控制方法给出了此优化问题的解析解。结果表明跳跃(违约)风险的存在,使可违约债券的最优投资策略不再是连续函数。当可违约债券违约时,投资者对可违约债券的持有量为零;当债券未发生违约时,投资者对可违约债券的最优持有量主要受信用利差、违约强度以及投资期限的影响。
[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.
【作者单位】：上海立信会计学院风险管理研究院;上海交通大学安泰经济与管理学院;
【基金】：上海市教育委员会科研创新项目(12YS154)
【分类号】：F830.59;F224

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