Decision-making on Investment in Convertible Bond Based on Markov Process
Convertible bond is the derivative of stock and interest rate. The fluctuation in the stock price and the interest rate play the two important roles in investment process of the convertible bond, so the investors must take them into consideration when making decision on investment in convertible bond. Based on the theory of stochastic process and principle of sequential decision considering interest rate, this paper gives the method of decision-making on investment in convertible bond. Policy iteration method is applied to get the optimal policy, which provides the convertible bond holders with the theoretic basis to make decision.
Decision-making on Investment Markov Process Policy Iteration Discount Factor Convertible Bond
Wang Zhufang Zhong Shengjun
Management School, Shenyang University of Technology, Shenyang 110023, China School of Material and Metallurgy, Northeastern University, Shenyang 110006, China
国际会议
2009年中国控制与决策会议(2009 Chinese Control and Decision Conference)
广西桂林
英文
6020-6024
2009-06-17（万方平台首次上网日期，不代表论文的发表时间）