考虑交易费用的投资—负债管理

发布时间：2018-03-05 04:16

本文选题：组合证券投资　切入点：Vasicek模型　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：持续多年的席卷全球金融海啸，给世界各国经济带来了前所未有的灾难，很多世界著名的金融机构，如花旗银行、雷曼兄弟公司等具有较高管理水平的公司都未能幸免于难，，皆遭受巨额损失甚至破产。此次金融危机对投资者进行了一场深刻的风险教育,让金融界开始觉醒，进一步深入探讨风险的有效防范和有效管理等问题。资产-负债管理的研究作为现代金融管理的重要研究内容之一,受到学者和业界的越来越高度的重视,国内外众多金融机构已将其视为提高企业核心竞争力的象征。本文将在连续时间框架下，研究资产-负债管理问题，针对对数效用函数，对最优投资策略进行分析讨论。本文将在组合证券投资研究中考虑随机利率和负债因素，研究考虑有负债影响的组合证券最优投资策略问题。本文假设利率遵循Vasicek模型的随机过程，并假设利率过程、股票价格过程和负债过程都存在一定的相关性。在终端财富期望效用最大化目标下，建立考虑负债和固定比例交易成本的最优组合投资模型。应用最大值原理得到相应值函数的HJB方程，并对对数效用函数下的最优投资策略进行了研究。通过求解所得到的偏微分方程，在对数效用函数下，得到了资产-负债管理的最优投资策略的解析表达式。给出释例对所做研究进行了讨论，增强了所做研究的可操作性，具有一定的指导意义。本文首先阐述了组合证券投资及带有负债的组合投资的研究背景、国内外在此方面的研究现状、存在的问题和主要研究成果。然后，介绍了离散时间组合证券投资和连续时间组合证券投资研究，并对效用函数进行了介绍。最后，研究了带有负债的组合证券投资问题，并通过释例进行了分析。
[Abstract]:The global financial tsunami that has swept through the world for many years has brought unprecedented disaster to the economies of the world. Many world-famous financial institutions, such as Citibank, Lehman Brothers and other companies with relatively high management levels, have failed to survive. Both suffered huge losses and even went bankrupt. The financial crisis has given investors a profound risk education, which has awakened the financial world and further explored the problems of effective risk prevention and management. As one of the important research contents of modern financial management, the research of asset-liability management has been paid more and more attention by scholars and industry. Many financial institutions at home and abroad have regarded it as the symbol of improving the core competitiveness of enterprises. In this paper, the problem of asset-liability management is studied in the continuous time frame, and the optimal investment strategy is analyzed and discussed in the light of logarithmic utility function. In this paper, we consider the stochastic interest rate and the debt factor in portfolio investment, and study the optimal investment strategy of portfolio securities with the influence of debt. This paper assumes that the interest rate follows the stochastic process of Vasicek model and assumes the interest rate process. The stock price process and the debt process have some correlation. Under the goal of maximizing the expected utility of the terminal wealth, The optimal portfolio investment model considering debt and fixed proportion transaction cost is established, and the HJB equation of the corresponding value function is obtained by applying the maximum value principle. The optimal investment strategy under the logarithmic utility function is studied. By solving the partial differential equation, under the logarithmic utility function, The analytical expression of the optimal investment strategy for asset-liability management is obtained, and an example is given to discuss the research, which enhances the maneuverability of the research and has certain guiding significance. This paper first describes the research background of portfolio securities investment and portfolio investment with liabilities, the current research situation, existing problems and main research results at home and abroad. This paper introduces the research of discrete time portfolio investment and continuous time portfolio investment, and introduces the utility function.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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