股指期货在动态投资组合保险策略中的应用  

Application of Stock Index Futures to Dynamic Portfolio Insurance Strategy

作　　者：石磊[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《科学技术与工程》2008年第24期6562-6564,6568,共4页Science Technology and Engineering

摘　　要：研究了国内市场推出股指期货之后,动态投资组合保险策略如何运用股指期货来调整组合资产。实证结果表明:投资组合保险策略在引入股指期货之后,一定程度上提高了投资收益率,明显减少了交易成本,而资产波动性并未发生显著变化。此外,在策略操作上,多头市场中应选取较高的风险乘数和较低的保本比例;盘整市场和空头市场中,较低的风险乘数和较高的保本比例将换取更高的收益率。About how dynamic portfolio insurance is studied would use stock index futures after native financial market starts the trade of stock index futures. The empirical results indicate that the application of stock index futures improves the income rate of investment and reduces the cost of trade when the fluctuation doesn＇ t increase at the same time. In order to get the most income, the strategy should select the higher risk multiplier and lower floor in the long market, and lower risk multiplier and higher floor in both the short market and dull market.

关 键 词：股指期货 投资组合保险策略 风险乘数 保本比例 

分 类 号：F830.59[经济管理—金融学]