基于多阶段利率期限结构仿真及随机规划的债券组合配置研究

Research on Bond Portfolio Allocation Based on Multi-stage Interest Rate Maturity Structure Simulation and Stochastic Planning

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