Research On The Portfolio Investment Strategy Of Fixed Income Securities

Since the new century, China’s fixed income securities market began to develop rapidly. Under this background, study on fixed income portfolio investment strategy has become the important topic of many scholars; at the same time, affected by the impact of interest rate marketization reform of the depth of our country, investment in fixed income securities and derivatives produced a variety of changes. In the current capital market of our country, there are a large number of institutional investors, these investors there is no lack of investment in fixed income securities, they must have risk management and identification of fixed income securities portfolio, to according to their investment needs to realize the choice of fixed income securities products meet specific market investment demand. So in the complexity of the current capital market environment, how to let investors effectively choose a needed fixed income securities products, and for these products determine the appropriate number of investment is not very easy, especially related to the different periods of the fixed income portfolio investment process and may be faced with the national financial policy, economic policy and environment improvement must be through a combination of optimization of fixed income securities to increase revenue, reduce risk. In view of this, this paper analyzes and studies the portfolio investment strategy of fixed income securities under the condition of interest rate term structure.This thesis summarizes the first relevant research literature at home and abroad on fixed income securities investment and portfolio; discusses basic theory on the investment portfolio of fixed income securities, including the characteristics, types of fixed income securities, the main risk and the interest rate sensitivity analysis, and investment in fixed income securities portfolio strategy type (positive and negative strategy) strategy analysis; on this basis, in the background of the current interest rate marketization, to analyze the term structure of interest rate and the instantaneous forward rate model, the short-term interest rate model respectively based on and compared with Vasicek, finally established the short-term interest rate model is the core of single factor and double factor model. Finally, with the help of above build the Vasicek short-term interest rate model, through access to data sources, the parameter estimates,3 months,12 months, two different investment period of single, two factor Vasicek model of short interest rate strategy combination risk return for empirical research, it is concluded that the combinatorial optimization strategy. The results of the study show that the short-term interest rate models than instantaneous forward rate model in fixed income securities portfolio is more applicability. At the same time, also found a different period of investment portfolio of fixed income securities products in single, two factor Vasicek short-term interest rates in the model performance each are not identical, regardless of the investment period of 3 months or 12 months the investment period, single factor Vasicek model of short interest rate portfolio Sharpe ratio is significantly higher than that of two factor Vasicek model of short interest rate portfolio Sharpe ratio.