对数效用函数下可转换债券最优投资策略分析

Optimal portfolio of convertible bond under logarithmic utility

可转换债券价值由债券部分和期权部分组成。在不考虑赎回和回售等附加条款的情况下,其期权部分可看作为一种美式看涨期权。在已知可转债的定价后,在对数效用函数下,利用一般最优投资组合理论,得到可转债最优投资组合的解析表达式。

The value of convertible bonds consists of two parts, the bond part and the option part. If not considering some attached provision such as redemption and sell-back treaty, the convertible bond can be treated as an American call option. As we know the formulation of the value of convertible bonds, by optimal portifolio, this paper represent the optimal portifolio of convertible bond making use of the general theory of under logarithmic utility.