摘要
引入动态Nelson-Siegel模型,利用其具备直观经济学意义的三个参数对中国国债收益率曲线的动态特性进行刻画,在不影响模型描述能力基础上降低问题的维度,提出对收益率曲线变动进行仿真的方法。以持有期收益和收益下偏函数作为债券组合收益及风险优化指标构建决策优化模型,并在不确定环境中求解多阶段最优决策序列。
This paper portrays the static and dynamic characteristics of Chinese Treasury yield curve by introducinga dynamic Nelson-Siegel model and by using three parameters with intuitively economic significance, and reducesthe dimensions of the problem without affecting the descriptive ability of the model. The simulation approach to thechangesest rateod andof the yield curve is proposed, and the simulation results of multi-stages are organized in the form of "inter-scenario tree". A decision-making optimization model is also constructed by using gains during holding peri-partialfunction under revenue as indicators of bond portfolio yield and risk optimization, seeking the multi-stage optimal decision sequences in an
出处
《征信》
北大核心
2014年第5期68-73,共6页
Credit Reference
关键词
债券组合
配置策略
利率期限结构
随机规划
bond portfolio
allocationuncertain environment.strategy
interest rate maturity structure
stochastic planning