基于经验模态分解的组合保险策略动态调整方法  

Dynamic Adjustment Method for Portfolio Insurance Strategy Based on Empirical Mode Decomposition

作　　者：刘海龙[1] 丁路程 LIU Hailong;DING Lucheng(Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai200030,China)

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：《系统管理学报》2018年第6期1009-1018,共10页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71873088)

摘　　要：组合保险策略可以防范证券市场中的系统性风险,近十几年来,无论是理论研究上,还是在实际应用上均有巨大的发展,但如何动态调整仍然是一个难题,至今没有很好地解决。提出了基于经验模态分解(EMD)动量的动态调整风险乘数的组合保险策略(EMD-CPPI),介绍了EMD-CPPI策略的基本思想;运用恒生指数股指期货实际数据进行了分析,并与传统的CPPI策略进行了比较。结果表明:①引入了经验模态分解动量的动态调整风险乘数调整的EMD-CPPI策略收益率显著优于CPPI策略的收益率;②引入了经验模态分解动量的EMD-CPPI策略的累计交易成本略高于CPPI策略的累计交易成本;③子样本绩效检验表明,较优参数区域的选择是稳健的,没有较优参数过度拟合风险。The portfolio insurance strategy can prevent the systematic risk in the securities market. In the past ten years, there has been tremendous development in both theoretical research and practical applications. However, the problem of dynamic adjustment has not yet been solved, and still remain a problem. In this paper, a portfolio insurance strategy was proposed based on the empirical mode decomposition momentum(EMD-CPPI) dynamic adjustment risk multipliers. First, the basic idea of the EMD-CPPI strategy was introduced. Then, the model was used to analyze the Hang Seng Index Stock index futures data, and the result was compared with the traditional CPPI strategy. The results show that the EMD dynamic adjustment risk multiplier-based strategy which introduces the empirical modal decomposition momentum is significantly better than the CPPI strategy. The accumulated transaction cost of the EMD-CPPI strategy is slightly higher than that of the CPPI strategy. The sub-sample performance test shows that the selection of the optimal parameter area is robust and there is no risk of over-fitting the parameters.

关 键 词：恒定比例投资组合保险 动量 经验模态分解 

分 类 号：F830.59[经济管理—金融学]