{"title":"公司债券的最佳投资","authors":"Shibo Bian , Hailong Liu","doi":"10.1016/j.mcm.2012.05.001","DOIUrl":null,"url":null,"abstract":"<div><p>The present paper analyzes the optimal investment strategy in a corporate (defaultable) bond, a stock and a bank account in a continuous time model. We model the corporate bond price through a reduced-form approach and solve the dynamics of its price. The optimal investment process will be worked out first with a general risk-averse utility function, and then an optimal strategy with CARA utility will be presented using martingale methods. The optimal investment strategy is analyzed numerically for the CARA utility.</p></div>","PeriodicalId":49872,"journal":{"name":"Mathematical and Computer Modelling","volume":"58 9","pages":"Pages 1615-1624"},"PeriodicalIF":0.0000,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mcm.2012.05.001","citationCount":"2","resultStr":"{\"title\":\"Optimal investment with a corporate bond\",\"authors\":\"Shibo Bian , Hailong Liu\",\"doi\":\"10.1016/j.mcm.2012.05.001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>The present paper analyzes the optimal investment strategy in a corporate (defaultable) bond, a stock and a bank account in a continuous time model. We model the corporate bond price through a reduced-form approach and solve the dynamics of its price. The optimal investment process will be worked out first with a general risk-averse utility function, and then an optimal strategy with CARA utility will be presented using martingale methods. The optimal investment strategy is analyzed numerically for the CARA utility.</p></div>\",\"PeriodicalId\":49872,\"journal\":{\"name\":\"Mathematical and Computer Modelling\",\"volume\":\"58 9\",\"pages\":\"Pages 1615-1624\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.mcm.2012.05.001\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mathematical and Computer Modelling\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S089571771200101X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mathematical and Computer Modelling","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S089571771200101X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The present paper analyzes the optimal investment strategy in a corporate (defaultable) bond, a stock and a bank account in a continuous time model. We model the corporate bond price through a reduced-form approach and solve the dynamics of its price. The optimal investment process will be worked out first with a general risk-averse utility function, and then an optimal strategy with CARA utility will be presented using martingale methods. The optimal investment strategy is analyzed numerically for the CARA utility.
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