系统管理学报2012，Vol.21Issue(5)：596-601,6.
信用债券型基金的最优资产配置策略
Optimal Investment Strategies for Defaultable Bond Fund
摘要
Abstract
This paper is concerned with optimal investment strategies for defaultable bond fund. We model the defaultable bond price using the reduced-form model and provide the dynamics of its price. Using stochastic control methods, we obtain a closed-form solution to the optimal strategies, showing the impact of jump-risk premium on optimal strategies. By the solution we know that when a jump-risk premium greater than one, namely the market pricing the jump risk in the defaultable bond, the fund invests a positive amount in the defaultable bond, otherwise, the fund does not invest in the defaultable bond.关键词
信用债券/简约化模型/最优投资策略/随机控制Key words
defaultable bond/ reduced-form model/ optimal investment strategies/ stochastic control分类
管理科学引用本文复制引用
卞世博,刘海龙,张晓阳..信用债券型基金的最优资产配置策略[J].系统管理学报,2012,21(5):596-601,6.基金项目
上海市教育委员会科研创新项目(12YS154) （12YS154）
