考虑可违约风险资产的风险敏感度投资决策问题

Risk Sensitive Dynamic Asset Management with Defaultable Asset

讨论了资产价格在宏观经济以及金融等因素影响下,含有可违约风险债券的连续时间风险敏感度投资决策问题.运用随机控制与随机分析理论,得到了最优投资决策存在的一个充分条件,并在一定条件下解得最优投资决策遵循一个关于因素水平以及债券违约概率的代数方程,对于数值计算有较好的实用性以及可操作性.

This paper develops a continuous optimal investment strategy problem for maximization of risk sensitivity, where the underlying assets consist of defaultable bond and risk assets, and the prices of the risk assets are affected by macroeconomic and financial factors. Using stochastic control and stochastic analysis theory, we obtain a sufficient condition for optimal investment strategy. Under a special assumption, we conclude that the optimal in- vestment strategy satisfies an algebra equation with respect to the financial factor levels and default probability of the bond. Therefore, the optimal investment strategy is a practical and tractable for numerical computation.