基于离散时间交易下的CPPI策略  

Strategy of the Constant Proportion Portfolio Insurance under Discrete-time Trading

作　　者：周圣[1] 史本山[1] 段玉娟[2] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]中信银行成都分行,四川成都610041

出　　处：《系统工程》2012年第5期33-38,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70771096)

摘　　要：投资组合保险策略在资本市场中不仅可以预防下跌风险同时也能把握上涨的收益。CPPI策略作为一种重要的投资组合保险策略实际应用十分广泛,很多研究都假设市场在连续时间的条件下,比如Black-Scholes市场,并设置价值底线作为最低需要保本的金额。但是实际市场往往会出现大的波动而使得资产组合价值突然跌破价值底线,也就是缺口风险。通过进一步研究基于离散时间交易下的CPPI策略,修正原有策略中需要进行调整的底线,从而考察了存在缺口风险的市场下投资组合保险策略的有效性,并且运用资金损失概率、预期损失等风险度量指标来衡量新模型的风险。As a major strategy in the market, Constant Proportion Portfolio Insurance （CPPI） can not only limit the downside risk but also catch the profit from rising market, so it is widely used in practice. However, many studies assume the markets are in continuous time, to say Black-Scholes market, and set value bottom line as breakeven amount, while in reality the gap risk which caused by liquidity constrains and price jumps will let the portfolio value below the guaranteed amount. The discrete-time trading CPPI strategy is further studied and new discrete-time CPPI model is presented based on a new rebalance criterion. Moreover, its effectiveness is examined and its risk is measured by using the risk indexes such as probability of capital loss and expected loss.

关 键 词：投资组合保险 CPPI策略 离散时间交易 缺口风险 

分 类 号：F830[经济管理—金融学]