基于均值-方差模型的P2P债权投资策略与风险度量问题研究

摘要

The first P2P cross-platform system in China for debt trading got online on January 31,2015 and since then the P2P debt investment has become a hot theme in both business circle and academia.This paper draws upon investors who hold both risk securities and P2P debts,and assumes that their cash flow follows Poisson process.The mean-variance model is built to obtain the optimal investment strategy of P2P debts by using stochastic optimal control approach.According to Dynamical Programming Principle (DPP),the correspending HJB equation is derived.And more importantly,the explicit solutions of the optimal investment strategy and risk measure are given in this paper.Finally,the influence of parameters in the solution is analyzed to illustrate the result.%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.