动态非短视资产负债管理

doi:10.12005/orms.2015.0217

运筹与管理 ›› 2015, Vol. 24 ›› Issue (6): 225-232.DOI: 10.12005/orms.2015.0217

动态非短视资产负债管理

张玲¹, 张未未², 郑军³

1.广东金融学院经济贸易系,广东广州 510521;
2.惠州学院数学系,广东惠州 516007;
3.广东财经大学金融学院,广东广州 510320

收稿日期:2014-06-12 出版日期:2015-12-25
作者简介:张玲(1979-)女,副教授,理学博士,研究方向:投资组合与风险管理、金融经济学;张未未(1978-),女,讲师,研究方向:最优资产组合选择;郑军(1982-),男,博士,讲师,研究方向:金融经济学与经济机制理论。
基金资助:
教育部人文社会科学基金资助项目(13YJCZH247);广东省哲学社会科学基金资助项目(GD12XYJ06);广东金融学院“创新强校”工程资助项目“随机市场环境下的动态资产配置问题研究”。

Dynamic Nonmyopic Asset Liability Management

ZHANG Ling¹, ZHANG Wei-wei², ZHENG Jun³

1.Department of Economics and Trade, Guangzhou University of Finance, Guangzhou 510521, China;
2.Department of Mathematics, Huizhou University, Huizhou 516007, China;
3.School of Finance, Guangdong University of Finance and Economics, Guangzhou 510320, China

Received:2014-06-12 Online:2015-12-25

摘要/Abstract

摘要： 用均值-回复过程刻画股票价格变化,本文研究了股票收益可预测金融市场中的连续时间资产负债管理问题。运用动态规划方法,求得了最优资产负债管理策略的闭合解。结果表明,最优策略是风险溢价的线性函数,随着投资期限的缩短,股票上的投资金额不断降低。数值分析表明,投资期限、股票风险溢价和债务对于最优资产配置策略和股票风险溢价不确定性跨期对冲需求都存在显著影响。

关键词: 资产负债管理, 均值-回复过程, 可预测性, HJB方程

Abstract: This paper investigates a continuous-time asset liability management problem by assuming that the stock returns are predictable which breaks the impasse that the returns of stock are independent identical distribution. The appreciation rate of the stock price is modulated by a mean-reverting process. And the dynamics of liability is described by a Brownian motion with drift. Utilizing the dynamic programming approach, this paper solves, in closed form, the optimal asset liability management strategy for an investor under expected utility over the terminal surplus. The result shows that the optimal asset liability management strategy is a linear function of risk premium and the amount invested in the risky stock decreases with the investment time horizon. The numerical analysis shows that the investment time horizon, risk premium and liability have significant impact on the optimal asset liability management strategy and the demand for hedging the uncertainty of the risk premium.

Key words: asset liability management, mean-reverting process, predictability, HJB equation

中图分类号:

F830

张玲, 张未未, 郑军. 动态非短视资产负债管理[J]. 运筹与管理, 2015, 24(6): 225-232.

ZHANG Ling, ZHANG Wei-wei, ZHENG Jun. Dynamic Nonmyopic Asset Liability Management[J]. Operations Research and Management Science, 2015, 24(6): 225-232.

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动态非短视资产负债管理

Dynamic Nonmyopic Asset Liability Management

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