英文标题：
《A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds》
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作者：
Alessandro Gnoatto, Martino Grasselli, Eckhard Platen
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最新提交年份：
2018
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英文摘要：
  In this paper we show how to hedge a zero coupon bond with a smaller amount of initial capital than required by the classical risk neutral paradigm, whose (trivial) hedging strategy does not suggest to invest in the risky assets. Long dated zero coupon bonds we derive, invest first primarily in risky securities and when approaching more and more the maturity date they increase also more and more the fraction invested in fixed income. The conventional wisdom of financial planners suggesting investor to invest in risky securities when they are young and mostly in fixed income when they approach retirement, is here made rigorous. The paper provides a strong warning for life insurers, pension fund managers and long term investors to take the possibility of less expensive products seriously to avoid the adverse consequences of the low interest rate regimes that many developed economies face.
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中文摘要：
在本文中，我们展示了如何用比经典风险中性范式所要求的更少的初始资本对零息票债券进行套期保值，其（微不足道的）套期保值策略不建议投资风险资产。我们衍生的长期零息票债券，首先主要投资于风险证券，当到期日越来越近时，它们也会增加投资于固定收益的份额。理财规划师的传统智慧是，建议投资者在年轻时投资高风险证券，在临近退休时主要投资于固定收益证券，这一点在这里变得很严格。该文件向人寿保险公司、养老基金经理和长期投资者发出了强烈警告，他们应认真对待低价产品的可能性，以避免许多发达经济体面临的低利率制度的不利后果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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