【摘要】 由于债券市场的参与者有不同的需求,对利率的走势判断不同,以及基本面的突然变化,经常会导致价格的暂时扭曲。而市场力量又必然使之趋于均衡,因此常常会出现套利机会。据此利用均值-方差理论及最优控制的方法,根据投资者的风险承受能力,寻求一个最优投资组合。更多还原

【Abstract】 In the bond market, the participants have different demands and their own opinions about the trend of interest rate. The abrupt changes in the fundamental aspects often result in temporary distortion of bond price But the forces of the market will consequentially impel it to a new equilibrium. So, arbitrage opportunities emerge frequently. In this paper,we use the theory of mean-variance and the method of optimal control to find the optimal portfolio based on the investors’ enduring ability to the risk.更多还原