摘要
提出了一种在保持一定流动性风险的情况下构建国债套利组合的方法,应用线性规划技术,将国债的持有期风险因素引入到约束条件中,进而求解出实现最大期初套利的国债投资组合。通过对我国上交所25种债券的实证检验,发现套利收益与组合的持有期风险成正比,与流动性指标成反比,这证明了在考虑债券流动性风险的情况下,进行债券套利操作不一定会带来可观的收益。
An arbitrage methodology for national bond was proposed with taking liquidity risk into account.The maximum initial arbitrage portfolio of the national bond was solved by exploiting linear programming technology under the constraints of the holding period risk of bond.The statistical tests show that arbitrage benefits are proportionate with the portfolio′s holding period risk,which is consistent with the hypothesis that such risk may make arbitrage unprofitable in essence by employing data of 25 kinds of bond from Shanghai Stock Exchange.
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2012年第2期233-237,共5页
Journal of Wuhan University of Technology：Information & Management Engineering
基金
教育部科技研究规划基金资助项目(10YJAZH024)
教育部
人事部留学回国人员科研基金资助项目(第36批)
中央高校基本科研业务费专项资金资助项目
关键词
国债市场
流动性套利
持有期风险
bond market
liquidity arbitrage
holding period risk
