| Margin loans belongs to the category of credit transactions, with margin loansbusiness growing up in our country again, at the same time of bringing new investmenttools to investors, it also puts forward higher requirements of investment riskmanagement ability of investors. Margin loans involves initial margin system,maintaining margin system and the system of margin calls, investment is relativelycomplex, and there are more risk points, especially the margin calls risk is the risk thatwe need to focus on. The problems need to be considered is that how investors do agood job in risk prevention and achieve the expected profit.The paper establishes a set of speculative algorithm according to the characteristicsof margin loans, and fluctuates according to the customer personalized bond portfolioand the market price. Specifically refer to the current margin system of our country,with considering the investors deposit consists of cash, or by cash and stocks, investorsgrasp the timing of the investment through the size of the objective function value. Twoelements, investor’s risk tolerance and the expected profit target, make different decisionmethods, strategy also considers the investment decision-making performance underdifferent decision method, investors set the rules of the market in the case of riskcontrolling, achieve the expected earnings targets. The article expounds the theoreticalbasis and calculation method.The optimal investment strategy is proposed for margin loans, where PRNC isproposed to measure risk of margin loans under the mark-to-market rules. And arecursive algorithm is proposed to calculate the value of PRNC under a Markov chainmodel. An active margin system is derived for margin loans, which is applied to104stocks listed in the SSE180index, where500loans for each stock are investigated. Theaverage annual rates of returns are calculated for80different investment strategies,which are distributed from19.57%to40.06%in our empirical investigations. |
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