基于VaR的权变投资组合保险策略及实证分析

传统的投资组合保险策略在投资期内全程进行保险操作,在熊市期间确能起到保险作用,但在牛市期间又会夹失部分收益。应用综合了VaR技术和滤嘴法则的VaR套补的权变投资组合保险策略,则能弥补上述缺憾,为保险资金或保本型基金投资股市提供了有效的投资手段。     

投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

PI(Portfolio Insurance)投资者特性研究

根据期权定价理论,分析了投资组合保险策略与期权的关系及投资组合保险策略与凸收益函数的关系,通过建立投资组合保险模型,得出不同条件下购买投资组合保险投资者的特点如下:1)随着财富的增加他们的风险承受能力比市场一般投资者增加的快;2)他们的市场预期比一般市场投资者更乐观,并且受益于投资组合保险.     

CPPI的优化策略及实证分析

CPPI策略作为一种重要的投资组合保险策略,在保本基金,保险等领域得到广泛应用,许多关于CPPI策略的研究都是假设市场在连续时间条件下.通过研究基于离散时间条件下的CPPI策略,并引入股指期货作为风险资产,对传统CPPI策略进行修正;同时讨论修正CPPI策略模型和传统CPPI策略模型在不同市场状况下的差异.采用Monte Carlo模拟方法对不同CPPI策略进行仿真,结果表明:在离散时间条件下,当放大乘数m较小时,不同CPPI策略都能实现保本,但不同CPPI策略期末价值差别明显.     

方差保费原则下具有违约风险的均值-方差保险者的时间一致最优投资和再保险问题（英文）

本文研究在均值-方差准则下保险者的最优投资再保险策略问题,其中保险者可以投资到无风险资产,股票和违约债券上,股票服从Heston模型.保险者可以购买比例再保险或者得到新的保险业务,特别地,保险和再保险的保费通过方差保费原则来计算.通过使用博弈论方法,我们分别解决了违约前和违约后的扩展的HJB方程并且得到了相应的时间一致最优投资再保险策略表达式.最后,我们用数值例子来说明模型参数对最优策略的影响.     

非平稳市场中适应性在线投资组合策略设计与分析

考虑到股票市场的表现往往是非平稳的, 过去较长时间的股票价格对当前的投资决策影响较小, 因此基于近期股票价格数据设计在线投资组合策略. 首先, 将上一期的策略与固定长度的股票价格近期数据对应的最优定常再调整策略加权平均, 设计了一个在线投资组合策略. 其次, 进一步采用在线学习的方法选择加权平均的权重, 设计了一个适应性的在线投资组合策略. 利用实际股票价格数据对构造的策略进行数值分析, 结果表明与基准策略和已有的在线投资组合策略相比, 设计的策略具有较好的性能.     

基于生存概率的保险基金最优投资策略研究

利用破产理论和随机控制理论研究保险基金最优投资策略,建立生存概率最大化的目标函数,得到最优投资策略满足的随机微分方程;在初始金逼近0时得到保险基金的最优投资策略的显示解;采用递推算法,得到初始准备金为任意值时的最优投资策略.     

离散时间投资组合保险策略CPPI及其实证分析

本文重点讨论了在离散时刻对投资组合进行调整的CPPI策略.给出了组合价值的过程表达式,并对其进行风险分析;引入二次期望效用函数,给出了确定CPPI策略中最优乘数的方法;讨论了借贷限制对CPPI策略的影响并将其与买入持有策略进行比较分析。最后,文章对CPPI策略的投资效果进行了实证分析.     

基于收益及收益偏差平方和多期组合投资

本文在分析Markowitz组合投资的基础上,建立考虑交易费用的收益偏差平方和极小化和收益率极大化的动态资产的投资组合模型.通过调整多期投资组合各期的投资数量,保障投资者根据股票市场变化进行易于操作的、相对合理的投资调整策略,为投资者进行风险管理提供决策依据.最后通过释例进行了说明.     

考虑相对业绩的最优投资选择博弈问题研究

研究了具有相互作用的两个竞争机构投资者之间的离散时间最优投资选择博弈问题,每个机构投资者都考虑其竞争对手的相对业绩.机构投资者可以投资于相同的无风险资产和不同的具有相关关系的风险股票,以反映投资的资产专门化.机构投资者选择投资组合策略使得期望终端绝对财富和相对财富的效用最大.首先,定义了Nash均衡投资组合选择策略.然后,在机构投资者具有指数效用函数的假设下,得到了Nash均衡投资组合选择策略和值函数的显示表达式,分析了机构投资者之间的竞争对Nash均衡投资组合选择策略的影响.最后,通过数值计算给出了各种情况下Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系.结果表明:机构投资者之间的竞争会影响其对风险的承担,投资机会集对机构投资者的Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系会产生很大的影响.     

Valuation and hedging of participating life-insurance policies under management discretion

The valuation and hedging of participating life insurance policies, also known as with-profits policies, is considered. Such policies can be seen as European path-dependent contingent claims whose underlying security is the investment portfolio of the insurance company that sold the policy. The fair valuation of these policies is studied under the assumption that the insurance company has the right to modify the investment strategy of the underlying portfolio at any time. Furthermore, it is assumed that the issuer of the policy does not setup a separate portfolio to hedge the risk associated with the policy. Instead, the issuer will use its discretion about the investment strategy of the underlying portfolio to hedge shortfall risks. In that sense, the insurer’s investment portfolio serves simultaneously as the underlying security and as the hedge portfolio. This means that the hedging problem can not be separated from the valuation problem. We investigate the relationship between risk-neutral valuation and hedging of these policies in complete and incomplete financial markets.     

基于风险网络结构的资产分配策略研究

股票市场是一个高风险市场,如何在频繁发生的极端波动环境下进行有效的资产分配是当前热点问题。本文首次应用VaR模型构建股市风险网络,并基于风险网络模型进行最优投资组合成分选择,分析不同市场波动行情下最优资产分配权重和股票中心性的时变关系,融合风险网络时变中心性和个股表现提出新的动态资产分配策略(φ投资策略)。结果表明:在股市上涨和震荡期,股票中心性和最优投资组合权重呈正相关关系;股市下跌期,股票中心性和最优投资组合权重呈负相关关系;当φ>0.05时,投资者的合理投资区域向高中心性节点移动,反之。φ投资策略的绩效表现证明了风险网络结构能提高投资组合选择过程。此研究对于优化资产配置、提高投资收益、多元化分散投资风险具有重要意义。     

随机利率条件下最优投资消费与寿险购买策略

随着我国利率市场化的深入发展, 利率的随机波动对投资者的最优投资消费策略将产生重要影响. 与此同时, 随着我国寿险市场的渐趋完善, 寿险购买也越来越受到投资者的重视, 投资者的最优策略也将发生改变. 现研究由 Vasicek 模型来刻画的随机利率条件下最优投资消费与寿险购买策略. 投资者的目标在于选择最优投资消费与寿险购买策略使期望效用最大化. 通过运用 Legendre 转换方法求出最优投资消费与寿险购买的显性解. 通过数值分析的方法, 实证分析相关变量的变化对投资者最优投资与寿险购买策略的影响.     

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??Under inflation influence, this paper investigate a stochastic differential game with reinsurance and investment. Insurance company chose a strategy to minimizing the variance of the final wealth, and the financial markets as a game ``virtual hand' chosen a probability measure represents the economic ``environment' to maximize the variance of the final wealth. Through this double game between the insurance companies and the financial markets, get optimal portfolio strategies. When investing, we consider inflation, the method of dealing with inflation is: Firstly, the inflation is converted to the risky assets, and then constructs the wealth process. Through change the original based on the mean-variance criteria stochastic differential game into unrestricted cases, then application linear-quadratic control theory obtain optimal reinsurance strategy and investment strategy and optimal market strategy as well as the closed form expression of efficient frontier are obtained; finally get reinsurance strategy and optimal investment strategy and optimal market strategy as well as the closed form expression of efficient frontier for the original stochastic differential game.     

Developing a dynamic portfolio selection model with a self-adjusted rebalancing method

In this paper, we propose a comprehensive investment strategy for not only selecting but also maintaining an investment portfolio that takes into account changing market conditions. First, we implement a dynamic portfolio selection model (DPSM) that uses a time-varying investment target according to market forecasts. We then develop a self-adjusted rebalancing (SAR) method to assess the portfolio’s relevance to current market conditions, and further identify the appropriate timing for rebalancing the portfolio. We then integrate the DPSM and SAR into a comprehensive investment strategy, and develop an adaptive learning heuristic for determining the parameter of the proposed investment strategy. We further evaluate the performance of the proposed investment strategy by simulating investments with historical stock return data from different markets around the world, across a period of 10 years. The SAR Portfolio, maintained according to the proposed investment strategy, showed superior performance compared with benchmarks in each of the target markets.     

Multi‐period mean variance portfolio selection under incomplete information

This paper solves an optimal portfolio selection problem in the discrete‐time setting where the states of the financial market cannot be completely observed, which breaks the common assumption that the states of the financial market are fully observable. The dynamics of the unobservable market state is formulated by a hidden Markov chain, and the return of the risky asset is modulated by the unobservable market state. Based on the observed information up to the decision moment, an investor wants to find the optimal multi‐period investment strategy to maximize the mean‐variance utility of the terminal wealth. By adopting a sufficient statistic, the portfolio optimization problem with incompletely observable information is converted into the one with completely observable information. The optimal investment strategy is derived by using the dynamic programming approach and the embedding technique, and the efficient frontier is also presented. Compared with the case when the market state can be completely observed, we find that the unobservable market state does decrease the investment value on the risky asset in average. Finally, numerical results illustrate the impact of the unobservable market state on the efficient frontier, the optimal investment strategy and the Sharpe ratio. Copyright © 2016 John Wiley & Sons, Ltd.     

国际多元化下投资组合优化研究:动态Copula方法

国际多元化需要对投资组合的相关结构进行动态性测度,这样才能提供更有效的资产配置策略和资金的理想避险场所。当前资产组合相关结构的Copula分析中考虑变结构和时变性不足,在此基础上构建了包含变结构和时变的诊断方法——分布函数距离法和Vuong-Clarke法在内的Copula动态性诊断方法,同时将二维诊断问题推广至多维情形,接着利用模拟仿真验证了上述方法的有效性。最后将动态Copula应用于金砖国家和西方成熟市场的最优投资组合中,利用标准差、CVaR和DVaR并结合样本预测外推法对最优投资组合进行了评价分析。实证结果表明,最优投资组合策略受Copula动态性影响明显,金砖国家市场在国际金融危机影响下能发挥良好的风险规避作用,实时的动态性诊断方法也能帮助投资者更快速地调整投资策略。     

MIN-MAD life: A multi-period optimization model for life insurance company investment decisions

This paper presents a model, called the MIN-MAD Life Model, for managing the investments of a life insurance company over a multiperiod planning horizon. The MIN-MAD Life Model is a linear programming under uncertainty model based on Markowitz portfolio theory. Given the insurance company's current position and its forecasts of possible future developments with their associated probabilities, the model helps determine the set of efficient investment decisions over the planning horizon subject to market constraints and to the insurance company's legal and policy constraints. The senior executives of the life insurance company need examine only the set of efficient investment decisions to determine their optimal investment decisions.     

基于隐Markov模型的最优资产组合选择

在具有可观测和不可观测状态的金融市场中,利用隐马尔可夫链描述不可观测状态的动态过程,研究了不完全信息市场中的多阶段最优投资组合选择问题.通过构造充分统计量,不完全信息下的投资组合优化问题转化为完全信息下的投资组合优化问题,利用动态规划方法求得了最优投资组合策略和最优值函数的解析解.作为特例,还给出了市场状态完全可观测时的最优投资组合策略和最优值函数.