A Mean-variance Model Based Study of the Optimal Investment Strategy and Risk Measure of P2P Debt

Abstract

Abstract:

The first P2P cross-platform system in China for debt trading got online on January 31, 2015 and since then the P2P debt in-vestment has become a hot theme in both business circle and academia.This paper draws upon investors who hold both risk securities and P2P debts, and assumes that their cash flow follows Poisson process.The mean-variance model is built to obtain the optimal investment strategy of P2P debts by using stochastic optimal control approach.According to Dynamical Programming Principle (DPP), the corre-sponding HJB equation is derived.And more importantly, the explicit solutions of the optimal investment strategy and risk measure are given in this paper.Finally, the influence of parameters in the solution is analyzed to illustrate the result.

Key words: investment strategy, P2P debt, mean-variance model, internet finance

Fu Yi, Zhang Jizhou, Zhou Cui. A Mean-variance Model Based Study of the Optimal Investment Strategy and Risk Measure of P2P Debt[J]. , 2017, 29(7): 19-28.

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