违约市场中内幕信息对投资组合的影响

The Impact of Inside Information on the Portfolios in a Default Market

摘要: 本文研究的是掌握可违约债券内幕信息的投资者的期望效用投资组合问题。内幕人士可以将资金分配到无风险资产，风险资产和可违约债券上。在以往研究中，内幕信息来源于扩散型风险资产过程，而本文假设投资者掌握的内幕信息是关于债券违约的预期信息。本文的研究表明，与仅使用公开信息相比，内幕信息能显著提高投资策略的效益。本文在以下两种内幕信息下借助扩大过滤技术结合鞅方法得到了最优投资策略：一种情况是在未来某个确定的日期发生违约，另一种情况是在投资到期前不可能违约。

Abstract: This paper investigates the expected utility portfolio optimization problem with inside information about defaultable bonds. The insider can allocate his funds to a risk-free asset, a risky asset and a defaultable bond. In previous studies, inside information comes from a diffuse risky asset process, whereas this paper assumes that the inside information possessed by the investor is expected information about the bond default. The research in this paper shows that inside information significantly improves the effectiveness of an investment strategy compared to using only publicly available information. The paper obtains the optimal investment strategy with the help of the expanded filtering technique combined with the martingale method under two types of inside information: a situation where default occurs at a certain date in the future and a situation where default is unlikely to occur before the maturity of the investment.