开放式信用债券型基金的最优投资策略

Optimal Investment Strategy for Open-end Defaultable Bond Funds

假设开放式信用债券型基金的资金净流入为一个随机过程,基金的投资目标为基于最终财富的期望效用最大化,研究了基金如何对信用债券以及银行存款进行最优投资,并利用鞅方法给出了此优化问题的解析解。结果表明:开放式信用债券型基金对信用债券的最优投资策略是跳跃风险溢价以及剩余投资期限的增函数;是违约损失率以及资金净流入波动率的减函数。

This paper studies how the open-end defaultable bond fund optimally allocates its wealth among the defaultable bond and the bank account,when the net cash inflows is stochastic.Assuming its objective is to maximize the expected utility of the terminal wealth,and using the martingale,we obtain a closedform solution to this problem.The optimal investment strategy for the defaultable bond is an increasing function of the jump-risk premium and the time to maturity,and is a decreasing function of the loss rate and the volatility of net cash inflows.