文档介绍：面向国债动态积极投资策略的多阶段随机规划模型☆
尹力博‡韩立岩†
北京航空航天大学经济管理学院,北京,100191
摘要:本文提出国债组合投资的多阶段随机规划模型,导出基于未来利率市场不确定信息的具备动态调整
特点的国债组合积极投资策略。该模型采用利率水平、斜率和曲率的“三位一体”的离散情景树刻画未来
利率期限结构动态演化过程,其中特别考虑了广义货币供给变动的影响;通过最小化国债组合收益的CVaR
风险,对国债组合进行积极动态配置;同时兼顾国债投资安全性、流动性和收益性等要求,实现了国债组
合投资与管理中利率风险规避和收益能力的有效匹配。实证研究表明,与传统久期配比免疫模型相比,该
模型确定的最优策略不仅能够为国债组合提供更强的抵御利率风险能力,同时能够稳步提升其收益空间,
对于金融机构实现国债投资的积极管理具有重要参考价值。
关键字:国债投资;积极管理;随机规划;情景生成;利率期限结构;动态 Nelson-Siegel (DNS)模型;
Multi-stage Stochastic Programming Model for Active and Dynamic Government Bonds
Investment Strategies
Libo YIN, Liyan HAN
Abstract: The paper proposes a multi-stage stochastic programming (MSSP) model for government
bonds investment in a dynamic setting. The uncertainty is modeled by discrete scenario trees
including the levels, slopes and curves of interest rates, and the growth rate of broad money supply
as well, which reflect the dynamic evolution of the term structure of interest rates. The model
minimizes the CVaR of the government bonds portfolio prehensive consideration of
safety, liquidity and profitability, which achieve an effective balance between risk and expected
return. Empirical tests verify that MSSP model outperforms traditional duration vector immunization
approaches significantly, in terms of petence in profit generation and risk control. It
demonstrates that MSSP model provides a flexible and effective decision support for active
management of government bonds investment.
Keywords: Government Bonds Investment; Active Management; Stochastic Programming; Scenario
Generation; Term Structure of Interest Rates; Dynamic Nelson-Siegel model;
一、引言和文献回顾
国债投资涉及债券定价、债券组合管理、利率风险管理乃至宏观货币政策效应等方面,其投资策略一
直受到业界和学术界的广泛关注。传统的国债投资与管理手段主要局限于久期凸度等免疫策略。鉴于投资
实践中不同期限收益率呈现的结构特征1,传统 Macaulay 久期匹配免疫策略的效果和应用范围受到较大影响
和限制。为此,学者们曾先后提出两种解决方案。一种思路是推出新的单一久期概念替代 Macaulay 久期,
旨在增进久期配比免疫策略的效果,例如 Fisher 和 Weil(1971)的 Fisher-Weil 久期、La Grandvile(2001)的方
向久期、Zheng et al.(2003)的近似久期等。另一种思路是将单一维度的 Macaulay 久期扩展到具有多