论文标题
债券的冷漠价格和冷漠收益率曲线
Bond indifference prices and indifference yield curves
论文作者
论文摘要
在具有随机利率的市场中，我们考虑一个投资者，如果他的钱在储蓄帐户中或（ii）购买零息债券，并将其余的财富投资于储蓄帐户，则可以（i）投资全部。债券的冷漠价格是投资者在两种情况下都能实现相同预期公用事业的价格。在仿射期限结构设置中，在假设投资者具有指数或功率形式的效用函数的假设下，我们表明零企业债券的冷漠价格是整体表达式的根源。例如，我们计算债券的冷漠价格和Vasicek设置中的相应的冷漠屈服曲线并解释结果。
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in a savings account. The indifference price of the bond is the price for which the investor could achieve the same expected utility under both scenarios. In an affine term structure setting, under the assumption that an investor has a utility function in either exponential or power form, we show that the indifference price of a zero-coupon bond is the root of an integral expression. As an example, we compute bond indifference prices and the corresponding indifference yield curves in the Vasicek setting and interpret the results.
