文档介绍：南京财经大学
硕士学位论文
信用风险资产的最优投资组合决策
姓名:张琳
申请学位级别:硕士
专业:金融学
指导教师:郭文旌
2011-01-09
摘要
最优资产组合选择是金融经济学,特别是资产定价研究领域中的重要问题之
一。动态资产组合决策,是指投资者随着时间的变化,根据证券市场实际发生的
情况,作相应调整的决策。它体现了资产价格的动态行为,也反映了证券市场的
特征以及投资者的投资决策过程。
在当前的市场中,越来越多的高收益公司债券逐渐吸引着投资者。投资者为
了追求更高的收益,相对于股票和无风险债券构成的投资组合,更偏爱能够提供
不同风险收益的公司债券与股票所组成的投资组合。尽管违约的公司债券比较
少,但在现实的债券市场中仍然会出现。本文把此类公司债券称为有信用风险债
券。
本文主要研究了扩散市场和跳跃扩散市场中的信用资产组合决策问题。与以
往研究资产组合选择问题采用无风险资产和股票组成的资产组合作研究对象不
同,本文以含信用风险的资产和股票这样的投资组合作为研究出发点,分别分析
信用资产在扩散市场和跳跃扩散市场的资产组合选择问题。其中,用泊松分布
(Poisson)来量化信用风险资产可能遭受的信用风险。
在均值-方差模型的基础上,运用随机控制方法分别得到了扩散市场和跳跃
扩散市场上含有信用风险资产组合的最优投资策略的解析表达式及有效边界。最
后,通过具体的例子,分析了各个因素对最优投资策略的影响。

关键词:信用风险资产;扩散过程;跳跃扩散过程;HJB 方程;有效边界

I
ABSTRACT
Optimal portfolio selection is important for financial economics, especially in the
field of asset pricing research. Dynamic portfolio selection decisions refer to that the
investor will adjust the optimal decision and do the best decision-making
corresponding to the actual situation. Dynamic portfolio selection decisions reflect the
dynamic behavior of the asset prices, the characteristics of the securities market and
the investors’ decision-making process.
In the current market, more and more high yield corporate bonds gradually
attract investors. Relative to the posed of stock and risk-free bonds,
investors prefer to portfolio consisted of stocks and credit risk bonds, which can
provide different returns, in order to pursue higher returns. Although the credit risk
bonds are less, they still appear in the real market. These corporate bonds are called
credit risk bonds in this paper.
In this paper, the problem of credit assets portfolio selection under a diffusion
credit risk model and jump-diffusion credit risk model which is considered. Different
from the previous portfolio selection problem, which is used the portfolio consisting
in a risk-free bond and stocks, in this paper we consider the portfolio, which