离散时间投资组合保险策略CPPI及其实证分析  

A Discrete-time Version of Constant Proportion Portfolio Insurance Strategy in China's Financial Markets

作　　者：何涛[1] 

机构地区：[1]中国科学院研究生院数学科学学院,北京100049

出　　处：《数理统计与管理》2008年第4期721-729,共9页Journal of Applied Statistics and Management

基　　金：国家科技部973项目资助(No.2007CB814920)

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.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.

关 键 词：CPPI策略 自融资 停时 期望不足资金 期望效用函数 

分 类 号：O212[理学—概率论与数理统计]