TIPP投资组合保险策略实证分析  

The positive test of the portfolio insurance on TIPP strategy

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：《哈尔滨工业大学学报》2006年第12期2135-2138,共4页Journal of Harbin Institute of Technology

基　　金：国家自然科学基金资助项目(70273027)

摘　　要：在引入TIPP投资组合保险策略的基础上,对TIPP策略进行了修改,提出VGPI策略.同时通过采用上证综合指数,对多头、空头和震荡三个时期以及不同的最低保险额、乘数和参数,分别对TIPP和VGPI策略进行历史数据实证模拟,并与B&H策略作对比,发现TIPP和VGPI策略在我国证券市场上能够起到有效的保险作用,同时TIPP策略显示更具抗风险性.This paper revises TIPP strategy, and proposes VGPI strategy on the basis of introducing TIPP strategy. By adopting the composite index of Shanghai Stock Exchange, we test positively TIPP and VGPI strategy separately in different minimum insured values, multipliers and parameters and at different periods including long position, short position and concussive period. Then we do the contrast with B＆H strategy, and find that TIPP and VGPI strategy can play a valid role on the security market in China, and TIPP strategy can resist risks of security market even more.

关 键 词：TIPP策略 VGPI策略 实证分析 

分 类 号：F830.59[经济管理—金融学]