| 离散时间投资组合保险策略CPPI及其实证分析 |
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| 引用本文： | 何涛.离散时间投资组合保险策略CPPI及其实证分析[J].数理统计与管理,2008,27(4). |
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| 作者姓名： | 何涛 |
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| 作者单位： | 中国科学院研究生院数学科学学院,北京,100049 |
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| 基金项目： | 国家重点基础研究发展计划(973计划) |
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| 摘 要： | 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.
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| 关 键 词： | CPPI策略 自融资 停时 期望不足资金 期望效用函数 |
A Discrete-time Version of Constant Proportion Portfolio Insurance Strategy in China's Financial Markets |
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| HE Tao.A Discrete-time Version of Constant Proportion Portfolio Insurance Strategy in China''s Financial Markets[J].Application of Statistics and Management,2008,27(4). |
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| Authors: | HE Tao |
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| Abstract: | In this paper,we will give a detailed introduction on the continuous-time CPPI Strategy whose rebalancement is restricted to discrete time.Then we give a method to determine the value of optimal multiplier,calculate the probability that the investor has to borrow from others and make a comparative analysis between the CPPI strategy and the Buy & Hold strategy.Lastly,we also give an evaluation of applying CPPI strategy into China's different financial markets. |
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| Keywords: | CPPI strategy self-financing stop-time expected shortfall expected utility function |
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