随机利率及随机收益保证下的投资策略

考虑随机利率环境及随机收益保证下基金经理的投资组合问题.利用鞅方法,得到了最优投资策略的显性解.结论表明,最优投资策略包括三个部分:投机策略、利率套期保值策略以及随机收益保证的复制策略,且该最优策略等价于将一部分资金投资于确保终端时刻获得最低收益的基准组合,而剩余资金则依照无保证情况下的最优策略进行投资.

Investment Strategies in the Presence of a Minimum Performance Guarantee under Stochastic Interest Rate

Under the stochastic interest rate environment, we consider fund manager’s optimal investment problem with a minimum performance guarantee. Using martingale method, we derive the explicit solution. The result shows that the optimal investment strategies include three parts: one is the speculative portfolio strategy, another is the hedge strategy for stochastic interest rate, the other is the replicating strategy for the benchmark portfolio which is used as the minimum performance guarantee. In addition, the optimal investment strategies at any time are equivalent to the strategies which are to invest in a portfolio which generates the amount of benchmark portfolio at the final date and to invest remainder of one’s wealth as if unconstrained