投资组合保险策略的蒙特卡洛实证比较分析  

Empirical Comparison and Analysis of Portfolio Insurance Strategies Based on Monte Carlo Simulation

作　　者：杜少剑[1] 陈伟忠[1] 刘元海[1] 

机构地区：[1]同济大学现代金融研究所,上海200092

出　　处：《中国矿业大学学报》2005年第3期363-368,共6页Journal of China University of Mining & Technology

基　　金：国家自然科学基金项目(70273027)

摘　　要：在固定比例投资组合保险(CPPI)策略、时间不变性组合保险(TIPP)策略和买入持有策略(B&H)等的基础上,提出了价值增长型组合保险(VGPI)策略.为验证上述投资组合保险策略的有效性,用蒙特卡洛模拟方法对组合资产中风险资产的周收益率数据进行随机生成,以1a为周期,按均值0.002459和方差0.023169,随机生成52个数据作为风险资产的周收益率.为便于对各策略的效果进行比较,各策略设定相同的参数.同时,为检测各投资组合保险策略的可靠性,用同样的蒙特卡洛模拟方法对各组合保险策略进行100次重复循环测试.在得出各组合保险策略有效性结论的同时,对各投资组合保险策略在实证中表现出的不同特点进行了比较分析.On the basis of some simple portfolio insurance strategies, including CPPI (constant proportion portfolio insurance) strategy, TIPP (time-invariant portfolio protection) strategy and B&H (buy-and-hold ) strategy, a portfolio insurance strategy, VGPI (value grow portfolio insurance) strategy, was put forward. To testify the validity of these portfolio insurance strategies, the weekly yield of risky assets was given by Monte Carlo simulation, 52 data randomly generated by the simulation with the mean of 0.002 459 and the variance of 0.023 169 being taken as the weekly yield in one year. In addition, to compare the effect of the portfolio insurance strategies, the same parameters were set in the empirical test. To testify the reliability of the portfolio insurance strategies, one hundred tests to them were conducted with the same Monte Carlo simulation, showing their validity. Furthermore, the characteristics of the portfolio insurance strategies were analyzed.

关 键 词：投资组合 蒙特卡洛 比较分析 保险 随机生成 模拟方法 收益率 不变性 增长型 资产 可靠性 复循环 数据 风险 价值 

分 类 号：F830.59[经济管理—金融学] O572[理学—粒子物理与原子核物理]