基于MACD预测指标动态调整的CPPI策略  

CPPI Based Dynamic Adjustment of Indicator MACD

作　　者：姚远[1,2] 翟佳[2] 范铭奇 

机构地区：[1]河南大学管理科学与工程研究所,开封475004 [2]阿尔斯特大学商学院

出　　处：《管理评论》2015年第4期21-28,37,共9页Management Review

基　　金：国家自然科学基金项目(71101045);国家留学基金委项目(201408410027);河南省教育厅科学技术研究重点项目(14A630039);河南省政府决策研究项目(2014336);河南省青年骨干教师支持计划(2010GGJS-031)

摘　　要：本文在传统的CPPI策略模型基础上,引入MACD指标,并进行相应的内生化,用于替换现有的风险乘m。同时采用类似"棘轮"的方法,构造新的最低要保额度函数,实现动态可变的要保额度,将捕获的收益按规则进行转出,最终形成DM-CPPI策略,实现了风险乘数和要保额度的双动态调整。同时,在模型中得以体现针对实际应用中的"缺口风险",通过合理的参数限制进行规避。最后,结合我国深证成指数据,分析不同行情和不同影响因素下DM-CPPI策略的执行绩效,并与传统的CPPI策略进行比较。结果显示,不管在何种行情下,DM-CPPI策略的绩效表现都优于CPPI策略。Based on the traditional CPPI strategy, this paper introduces the indicator MACD and makes it endogenous to replace the risk multiplier m. Meanwhile we use a similar ＂ratchet＂ approach, construct a new minimum guarantee amount function to make insurance limits dynamic and variable, transfer the captured gains out by rules, and eventually shape DM-CPPI strategy, which realizes dynamic adjustment in both risk muhiplier and guarantee amount. Meanwhile, the ＂gap risk＂ in practice is involved in the model to circumvent restrictions by rational arguments. Finally, we use China Shenzhen Component Index data to analyze the performance under different market conditions and affections, and compare with the performance of the traditional CPPI strategy. The results show that in all kinds of market conditions, the DM-CPPI strategy performs better than CPPI strategy.

关 键 词：CPPI 风险乘数 动态调整 要保额度 

分 类 号：F830.91[经济管理—金融学]