结合资产配置策略测算多期收益保证价值  

Pricing multi-period return guarantees combined with asset allocation strategy

作　　者：王亦奇[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《管理科学学报》2011年第11期42-51,62,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70773076)

摘　　要：投资机构能够采取某种资产配置策略,改变由收益保证所引致的期末偿付能力不足风险,并根据风险与价值对等的原则,进而改变收益保证的价值.但是,现有文献在测算收益保证价值时并没有考虑资产配置策略.针对现有文献的不足,在一种新的收益保证形式下,提出了结合资产配置策略测算收益保证价值的新方法,然后以固定组合(CM)、生命周期(DL)、固定比例组合保险(CPPI)三种策略为特例,分别测算了多期收益保证价值.结论表明,1)投资机构采取的资产配置策略以及策略参数是影响收益保证价值的重要因素,投资机构采取避险策略将会降低收益保证的价值;2)当多期收益保证的期数逐渐增大时,多期收益保证价值显著地变大.Investment institution can take asset allocation strategy to change the risk of insolvency, which is caused by return guarantees, thereby, according to the principle of the consistency of risk and value, the value of return guarantees is changed. Available papers study the value of return guarantees without considering asset allocation strategy. This paper proposes a new approach combined with asset allocation strategy and return guarantee is set to a new form. We calculate the value of multi-period return guarantees under constant-mix, deterministic lifestyle and constant proportion portfolio insurance strategies respectively. The results show that： （1） The asset allocation strategy and strategy parameters used by investment institutions are important factors affecting the value of return guarantees, and the hedge strategy used by investment institutions will reduce the value of return guarantees;（2） The value of multi-period return guarantees change largely with the periods of multi-period return guarantees.

关 键 词：收益保证 资产配置 固定比例组合保险 

分 类 号：F832.48[经济管理—金融学]