Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk
Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk
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DOI：
10.3390/math11061550
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发表时间：
2023-03
期刊：
影响因子：
2.4
通讯作者：
Wei Wang;Qianyan Li;Quanzuo Li;Songhua Xu
中科院分区：
文献类型：
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作者：
Wei Wang;Qianyan Li;Quanzuo Li;Songhua Xu
研究了具有汇率风险和违约风险的鲁棒最优投资问题。我们假设投资者是模糊厌恶的，他们不仅可以进入国内市场，而且可以进入国外市场。首先利用鲁棒随机最优控制理论得到相应的Hamilton-Jacobi-Bellman（HJB）方程。然后讨论了违约前后的最优投资问题，得到了价值函数和最优投资策略。最后，我们发现违约前的最优投资策略受到违约强度和信用利差的影响，在违约后的情况下，投资者不能持有可违约债券。数值结果还表明，汇率风险、违约风险和模糊规避对最优投资策略有很大的影响。
The problem of robust optimal investment with exchange rate risk and default risk is studied. We assume that investors are ambiguity averse and they have access not only to the domestic market but also to the foreign market. The corresponding Hamilton–Jacobi–Bellman (HJB) equations are first obtained through the robust stochastic optimal control theory. Then, we discuss the optimal investment problems before and after default, and the value functions and optimal investment strategies are obtained. Finally, we find that the optimal investment strategies of pre-default are affected by the intensity of default and the credit spread, and the investors cannot hold defaultable bonds in the post-default case. Numerical results also show that the exchange rate risk, default risk and ambiguity aversion have a great effect on the optimal investment strategies.