基于动态风险乘数调整的CPPI和TIPP策略研究  

A Study of CPPI and TIPP Based Adjustment of Dynamic Risk Multiple

作　　者：姚远[1] 郭珊[1] 

机构地区：[1]河南大学管理科学与工程研究所,开封475004

出　　处：《管理评论》2012年第4期45-52,共8页Management Review

基　　金：国家自然科学基金项目(7110104570771096);河南省青年骨干教师支持计划(2010GGJS-031);河南省高校科技创新人才支持计划(2009HASTIT017)

摘　　要：本文引入一个动态风险乘数调整因子,对CPPI和TIPP的风险乘数m进行动态调整,提出一种新的基于动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略,其中m由固定乘数变为随股价变动的动态乘数。在股价上涨时,动态乘数调整因子随之上涨,当股价下跌时,动态乘数调整因子随之下跌,由此起到股价上涨时扩大参与获利,股价下跌时更好的进行向下保护的目的。结合我国股市的实际数据,分析不同行情和不同影响因素下动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略的执行绩效,并与传统的CPPI和TIPP策略比较,结果显示基于动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略总体优于传统的CPPI和TIPP策略。In this paper we introduce a dynamic risk multiple adjustment factor that makes the dynamic alignment to the risk multiple m of CPPI and TIPP,and propose the Constant Proportion Portfolio Insurance Strategy with a dynamic multiple adjustment factor（D-CPPI） and the Time-Invariant Portfolio Protection Strategy with a dynamic multiple adjustment factor（D-TIPP）.The multiple m is adjusted by the movement of stock price,that is,when stock price rises,dynamic multiple adjustment factor rises along with it,when the stock price falls,the dynamic multiple adjustment factor falls along with it,accordingly the strategy would increase profits of investors when the stock price rises and get downward protection when the stock price falls.Combined with the actual data of China＇s stock market,in the empirical study we can analyze the performance of D-CPPI and D-TIPP under different markets and different affecting factors,and compared with traditional CPPI and TIPP strategy,the results show that the performance of D-CPPI and D-TIPP overall exceeds traditional CPPI and TIPP strategy.

关 键 词：动态风险乘数 组合保险 CPPI TIPP 

分 类 号：F224[经济管理—国民经济] F830.91