投资组合保险管理研究  

Study of the Management of Portfolio Insurance

作　　者：李朋[1] 刘善存[1] 

机构地区：[1]北京航空航天大学经济管理学院

出　　处：《管理学报》2005年第6期733-738,共6页Chinese Journal of Management

摘　　要：投资组合保险管理策略对于投资安全性要求较高的投资者来说是一种很好的选择,在理论上提出并分析了有借贷限制和跌幅限制的动态合成看跌期权投资组合保险策略,给出了基于股票价格定期调整的投资组合表达式,针对我国市场选取6只股票进行了实证分析,结果表明该动态投资组合保险策略能够有效地规避下方风险,并且能在股票价格上升时获利,为投资者尤其是机构投资者的策略选择提供了参考。The strategy for portfolio insurance management was an optimal selection for investors with higher safety investment requirements. The insurance strategy synthesized by borrowing restriction and decline limits were proposed and analyzed, using for synthetic put. An expression of portfolio was given on the basis of periodical adjustment of stock price. Aimed at China＇s market, six stocks were selected to do the empirical research. The numerical results verified that the strategy can avoid downside risk and can get profits during vestors, especially institution investors, to the stock price＇s going up. It provided reference for inselect their strategies.

关 键 词：动态投资组合保险策略 合成看跌期权 借贷限制 

分 类 号：F830.9[经济管理—金融学]