论文标题
有限责任会降低杠杆风险吗？：贷款投资组合管理的情况
Does limited liability reduce leveraged risk?: The case of loan portfolio management
论文作者
论文摘要
RETURS风险模型是现代投资组合理论的两个支柱，这些支柱被广泛用于选择银行贷款组合时的决策。银行和其他金融机构受到有限责任保护。但是，在大多数模型公式中，没有考虑有限责任。因此，为了解决这个问题，我们在本文中分析了将其纳入模型公式的效果。我们制定了四个模型，其中两个模型正在最大限度地提高风险限制的预期收益，包括和排除有限责任，而另外两种是最小化风险，而有限责任的阈值回报水平，有限的回报水平。我们的理论结果表明，具有有限责任的模型的解决方案会比其他模型产生更好的结果，既可以最大程度地降低风险和最大化预期收益。它的风险投资要比解决其他模型的其他投资组合较少。最后，提出了一个说明性示例，以支持获得的理论结果。
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial institutions are subjected to limited liability protection. However, in most of the model formulation, limited liability is not taken into consideration. Accordingly, to address this, we have, in this article, analyzed the effect of including it in the model formulation. We formulate four models, two of them are maximizing the expected return with risk constraint, including and excluding limited-liability, and other two are minimization of risk with threshold level of return with and without limited-liability. Our theoretical results show that the solutions of the models with limited-liability produce better results than the others, in both minimizing risk and maximizing expected return. It has less risky investment than the other portfolio that solves the other model. Finally, an illustrative example is presented to support the theoretical results obtained.
