英文标题：
《Robust Optimization of Credit Portfolios》
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作者：
Agostino Capponi and Lijun Bo
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最新提交年份：
2016
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英文摘要：
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized. We provide an explicit characterization of the optimal robust bond investment strategy, in terms of default state dependent value functions associated with the max-min robust optimization criterion. The value functions can be obtained as the solutions of a recursive system of HJB equations. We show that each HJB equation is equivalent to a suitably truncated equation admitting a unique bounded regular solution. The truncation technique relies on estimates for the solution of the master HJB equation that we establish.
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中文摘要：
我们引入了一个动态信贷组合框架，其中最优投资策略对参考信贷模型的错误指定具有鲁棒性。风险厌恶型投资者通过考虑一组看似合理的替代方案（其预期对数似然比会受到惩罚）来模拟他对信贷风险误判的恐惧。我们给出了最优稳健债券投资策略的一个显式特征，即与最大最小稳健优化准则相关的违约状态相关的价值函数。这些值函数可以作为HJB方程组的递推解得到。我们证明了每一个HJB方程都等价于一个适当截断的方程，该方程具有唯一的有界正则解。截断技术依赖于我们建立的主HJB方程的解的估计。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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