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2015年1月31日,全国首个P2P跨平台债权转让系统“投之家”的二级市场上线,这迅速使得P2P债权投资成为了业界与学术界的热门话题。本文考虑投资者同时持有风险资产和P2P债权,将投资者日常的现金流假设为泊松过程,应用随机控制方法建立了P2P债权投资的均值-方差模型,运用动态规划原理得到了模型对应的HJB方程,并解得HJB方程的最优投资策略和风险度量显式解。最后本文通过数值模拟分析了不同参数对模型结果的影响。
January 31, 2015, the country’s first P2P cross-platform debt transfer system “investment house ” secondary market, which quickly makes P2P debt investment has become a hot topic in the industry and academia. This paper considers that investors hold risk assets and P2P credits at the same time, and investors’ daily cash flow is assumed to be Poisson process. The mean-variance model of P2P debt investment is established by using stochastic control method. HJB equation, and solve the HJB equation of the optimal investment strategy and risk measurement explicit solution. Finally, this paper analyzes the impact of different parameters on the model results by numerical simulation.