带有违约风险的最优投资组合

Study on the Optimal Investment Portfolio with Default Risk

研究了投资者面对违约风险时,在由可违约零息债券、股票、国债及货币市场账户组成的投资组合之间进行最优投资的问题。其中,违约风险在一个简化形式模型框架中建模,并且,投资组合中风险资产的价格根据状态变量的仿射结构在一个仿射期限结构框架中建模。指出:最优投资组合策略包含了一个均-方部分和分别对应于短期利率及风险市场价格的两个套期保值部分。最后,研究了状态变量是V asicek过程时的确定解。

This paper investigates the optimal investment portfolio with stock, defaultable zero-coupon bond, treasury bond and money market account when the investor faces default risk. The default risk is modeled in the reduced-form models framework. And the prices of these risk-assets in the portfolio are modeled in an affine term structure framework in terms of state variables following an affine structure. This paper points out that the optimal investment portfolio strategy contains a mean-variance component and two hedge components with regard to the short term interest rate and market price of risk respectively. At last, this paper also investigates the deterministic solution when the state variables follow Vasicek process.