组合保险策略绩效实证研究  

Empirical Study of Performance of Portfolio Insurance

作　　者：田君[1] 刘元海[1] 陈伟忠[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《同济大学学报（自然科学版）》2005年第2期275-279,共5页Journal of Tongji University:Natural Science

基　　金：国家自然科学基金资助项目(70273027)

摘　　要：研究了2类组合保险策略(复制性卖权策略和恒定比例组合保险(CPPI)策略)对深圳成指的保险效果.结果 表明,组合保险策略在市场呈现空头行情时,能够将投资组合损失锁定在一定范围内;在市场呈现多头行情时,能 够捕捉到股市上涨收益.并且2种策略没有哪种策略绩效绝对优于另一种策略,且复制性卖权策略交易成本较大.This paper studies the effect of portfolio insurance on the portfolio of Shenzhen composite index. The empirical study shows that portfolio insurance can reduce the loss in bear market and capture upside in bull market. At the same time, the performance of the synthetic put strategy can't absolutely outperform the constant proportion protfolio insurance (CPPI) strategy. Furthermore,the transaction cost of the synthetic put strategy is bigger than that of the CPPI strategy.

关 键 词：组合保险策略 复制性卖权策略 恒定比例组合保险 绩效 

分 类 号：F830.91[经济管理—金融学]