本文提出国债组合投资的多阶段随机规划模型,导出基于未来利率市场不确定信息的具备动态调整特点的国债组合主动投资策略。该模型采用基于利率水平、斜率和曲率"三位一体"的离散情景树刻画未来利率期限结构动态演化过程,其中特别考虑了广义货币供给变动的影响;通过最小化国债组合收益的条件风险价值,对国债组合进行主动动态调整;同时兼顾国债投资安全性、流动性和收益性等要求,实现了国债组合投资管理中利率风险规避和收益能力的有效匹配。实证研究表明,与传统久期配比免疫模型相比,该模型确定的最优策略不仅能够为国债组合提供更强的抵御利率风险能力,而且能够稳步提升其收益空间,为金融机构实现国债投资的主动管理提供决策支持。
A multi-stage stochastic programming (MSSP) model for investment in government bond portfolios is proposed in a dynamic setting, an active dynamic strategy under uncertainty is derived. The uncertainty is modeled by discrete scenario trees including the levels, slopes and curves of interest rates, and the growth rate of broad money supply, which reflect the dynamic evolution of the term structure of interest rates. The model minimizes the CVaR of the government bond portfolio with comprehensive consideration of safety, liquidity and profitability, and achieves an effective balance between risk and the expected return. Empirical results show that the MSSP model outperforms traditional duration vector immunization approaches significantly, in terms of stronger competence in profit generation and risk control, which provides a flexible and effective decision support for active management of government bond investment by financial institutions.
[1] Fisher L, Weil R L.Coping with the risk of interest rate fluctuations: Returns to bondholders from naive and optimal strategies[J]. The Journal of Business, 1971,44(4): 408-431.
[2] de La Grandville O.Bond pricing and portfolio analysis: Protecting investors in the long run[M]. Cambridge, Mass: MIT Press, 2001.
[3] Zheng H, Thomas L C, Allen, D E.The duration derby: A comparison of duration based strategies in asset liability management[J]. Journal o f Bond Trading and Management, 2003,1(4): 371-380.
[4] Cooper I A.Asset values, interest rate changes, and duration[J]. Journal of Financial and Quantitative Analysis,1977,12(5): 701-723.
[5] Chambers D R, Carleton W T,McEnally R W.Immunizing default free bond portfolios with a duration vector[J].Journal o f Financial and Quantitative Analysis, 1988,23(1): 89-104.
[6] Elton E J, Gruber M J, Michaely R. The structure of spot rates and immunization[J]. Journal of Finance,1990,45(2): 629-642.
[7] Willner R. A new tool for portfolio managers: Level, slope and curvature durations[J]. Journal of Fixed Income, 1996,6(1): 48-59.
[8] Crane D B.A stochastic programming model for commercial bank bond portfolio management[J]. Journal of Financial and Quantitative Analysis, 1971,6(3): 955-976.
[9] Bradley S P, Crane D B.A dynamic model for bond portfolio management[J]. Management Science, 1972,19(2): 139-151.
[10] Nielsen S S, Poulsen R.A two-factor, stochastic programming model of Danish mortgage-backed securities[J]. Journal of Economics Dynamics & Control, 2004,28(7): 1267-1289.
[11] Rasmussen K M, Clausen J.Mortgage loan portfolio optimization using multi-stage stochastic programming[J]. Journal of Economics Dynamics & Control, 2007,31(3): 742-766.
[12] Zenios S A, Holmer M R, McKendall R, et al.Dynamic models for fixed-income portfolio management under uncertainty[J]. Journal of Economic Dynamics and Control, 1998,22(10): 1517-1541.
[13] 何大义,高建伟. 基于贝叶斯随机规划方法的养老保险基金投资策略研究[J]. 中国管理科学,2011,19(4),54-59.
[14] 李研妮,冉茂盛. 商业银行流动性风险管理方法的改进研究——基于模糊定性约束下的动态规划补偿模型应用[J]. 中国管理科学,2011,19(3),19-25.
[15] Rockafellar R T, Uryasev S.Conditional Value-at-Risk for general loss distribution[J]. Journal of Banking & Finance, 2002,26(7), 1443-1471.
[16] Topaloglou N, Vladimirou H, Zenios S A.Optimizing international portfolios with options and forwards[J]. Journal of Banking & Finance, 2011,35(12): 3188-3201.
[17] Diebold F X, Li Canlin.Forecasting the term structure of government bond yields[J]. Journal of Econometrics, 2006,130(2): 337-364.
[18] Christensen J H E, Diebold F X, Rudebusch G D. The affine arbitrage free class of Nelson-Siegel term structure models[J]. Journal of Econometrics, 2011,164(1): 4-20.
[19] 康书隆,王志强. 中国国债利率期限结构的风险特征及其内含信息研究[J]. 世界经济,2010,(7):121-143.
[20] 吴军,董志伟,涂竞. 有效需求不足背景下的潜在通货膨胀压力——基于货币结构分析视[J]. 金融研究,2011,(7):32-42.
[21] Fama E F, Bliss R R.The information in long maturity forward rates[J]. American Economic Review, 1987,77(4): 680-692.
[22] Campbell J, Shiller R.Yield spreads and interest rate movements: A bird's eye view[J]. Review of Economic Studies, 1991,57(3): 495-514.
[23] 余文龙,王安兴. 基于动态Nelson-Siegel模型的国债管理策略分析[J]. 经济学(季刊),2010,9(4),1403-1426.
[24] 王志强,康书隆. Nelson-Siegel久期配比免疫模型的改进与完善[J]. 数量经济技术经济研究,2010,(12),133-147.
[25] Sortino F A, Van der Meer R.Downside risk-Capturing what's at stake in investment situations[J]. Journal of Portfolio Management, 1991,17(4): 27-31.
