信用债券的最优投资策略

Optimal investment strategies for defaultable bond

研究了一个代表性投资者投资于信用债券、股票以及银行存款的最优配置问题.利用简约化模型对信用债券进行定价,并给出其价格的动态过程,通过鞅方法给出了此优化问题的解析解.结果表明:只有当信用债券的跳跃风险溢价大于1,即市场对跳跃风险进行风险补偿时,投资者才会持有信用债券;否则,投资者对信用债券的最优投资为零.

The problem of a representative investor how to optimally allocate her wealth among the following securities： A defaultable bond, a stock and a bank account was researched. Modeled the defaultable bond price through the reduced-form model and solved the dynamics of its price. Using martingale approach, obtained a closed-form solution to this optimal problem. From the solution it is clear that for a jump-risk premium greater than one, namely the market pricing the jump risk in the defaultable bond, the investor optimally invests a positive amount in the defaultable bond. On the other hand, the investor optimally invests nothing in the defaultable bond.