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本文主要讨论了高风险债券的违约风险是如何改变投资者的资产分配的。投资者的资产组合包括无风险债券、股票和可违约零息债券。当面临高风险债券的违约风险时,投资者通过随机动态规划方法解决了其投资组合的最优决策问题。结果说明随着违约风险增加投资者增持了股票而减持了可违约债券。投资者会将一个对冲需求给高风险股票,以此来对冲高风险债券的违约风险。具体来说,当违约概率增加时个人倾向于用股票而不是现金来满足避险要求。
This article mainly discusses how the default risk of high-risk bonds changes the investor’s asset allocation. The investor’s portfolio includes risk-free bonds, stocks and defaulted zero-coupon bonds. When faced with the default risk of high-risk bonds, investors solve the optimal decision-making problem of their portfolio through stochastic dynamic programming. The result shows the holdings of defaultable bonds as investors increase their holdings of shares as default risk increases. Investors will hedge the risk of default of high-risk bonds by placing a hedging demand on high-risk stocks. Specifically, individuals tend to satisfy hedging requirements with stock instead of cash when the probability of default increases.