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带突变利率组合贷款最优还款年限的确定

Optimal Duration Determination of a Combined Mortgage Loan with Discontinuous Interest Rates
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摘要 本文将论文 [1 ]的研究加以推进 ,假定组合贷款中所包含的两种贷款中的每一种的利率会随还款年限的变化而发生突变 ,即它们的利率在某个临界还款年限前后具有不同的数值 ,在这个假定下考虑两种贷款的最优还款年限确定问题 :在两种贷款的每月还款金额之和不超过贷款申请者月承受能力的约束条件下使两种贷款的年还款额的净现值达到极小。与论文 [1 ]一样 ,本论文得出了既有理论价值又有实用价值的结果。特别是 ,本文给出了在带突变利率的情况下决策平面上组合贷款年还款额净现值总额等值线的精确形状 ,并探讨了这种形状随利率突变量的变化以及它对问题最优解的影响。这些研究结果在不采用文献 [2 ]所提出的电子表格软件建模与分析方法的情况下是肯定无法得到的。 This article improves the results of reference[1] in one respect: the interest rates of the two loans of the combination are discontinuous. i.e., their interest rates have a jump at a specific duration year.With the tools of the spreadsheet modeling method, we get the exact patterns of the isoquant curves of the total net present value of the combined loan on the decision plane.With the help of adustable charts, we show the form change process of the curves when the extent of the jumping increases.On the other hand, the loan applier’s budget curves is approximately unchanged under the conditions of the interest rate jumping.With the picture of the modifies curves, the optimal loan duration determination tools created in[1] is functioned in the same way.
作者 王兴德
出处 《上海财经大学学报》 2001年第2期24-31,共8页 Journal of Shanghai University of Finance and Economics
关键词 突变利率 还款年限 组合贷款 有约束 最优化 管理决策模型 可调图形 combined mortgage loan constrained optimization spreadsheet decision model adjustable chart
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