Study On Strategy Of Insurance-Fund Investment Convertible Bond Based On B-S Model

At present,the domestic and international economic situation is complex,the risk of global economic recession is intensifying,and the "trade crisis" and "new coronavirus" are raging around the world,which will inevitably cause a huge crisis to the production and operation of large and medium-sized enterprises.In this thesis,the economic growth of various countries is slowing down,inflation is accelerating,international oil prices are plummeting,and the world's stock indexes have fallen into a technical bear market,which also increases the risks faced by investors when investing.Therefore,it is the trend of future investment development that investors choose undervalued financial assets to form investment portfolios in uncertain financial markets in order to obtain higher than the average investment return of the market in the same period.In the case of a given return of investment portfolio,investment convertible bonds have obvious advantages of low risk and high return over other financial assets.At present,with the development and growth of the convertible bond market,many insurance companies have begun to actively arrange investment in convertible bonds,which not only guarantees a higher yield rate,but also can get out in the market fluctuations.Based on the uncertainty of risk and return of financial asset investment,this thesis firstly makes an empirical analysis of insurance funds' investment in different securities and other assets by using the mean-variance portfolio theory proposed by Mark Mowit(1952),and establishes a securities portfolio based on the principle of highest return or lowest risk under given return.Because different investors have different expected returns and risk aversion,their indifference curves are also different.Therefore,different insurance companies have different indifference curves and tangents of effective boundaries,that is,different optimal portfolios.Secondly,based on the proportion of convertible bonds investment in the optimal portfolio,it is necessary to determine whether the convertible bonds in the portfolio are undervalued or not,and combine the investment products of the undervalued convertible bonds.Therefore,the analysis of convertible bond pricing model,through comparing monte carlo,finite difference,binary tree,fuzzy pricing,option pricing method,the advantages and disadvantages of selecting B-s option pricing model for convertible bonds pricing analysis value of the option value,finally get the convertible bonds value,namely the option value and the value of convertible bonds in the sum of the value of a common bond.Then,according to the convertible bond pricing model,the paper further analyzes whether the investment value of the convertible bond is consistent with the market value,and puts forward Suggestions on the portfolio investment strategy of the convertible bond under the premise of undervaluation.