CPPI的优化策略及实证分析  

Optimization and Empirical Analysis of CPPI Strategy

作　　者：卢仕泽 李星野[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《数学理论与应用》2015年第2期24-34,共11页Mathematical Theory and Applications

摘　　要：CPPI策略作为一种重要的投资组合保险策略,在保本基金,保险等领域得到广泛应用,许多关于CPPI策略的研究都是假设市场在连续时间条件下.通过研究基于离散时间条件下的CPPI策略,并引入股指期货作为风险资产,对传统CPPI策略进行修正;同时讨论修正CPPI策略模型和传统CPPI策略模型在不同市场状况下的差异.采用Monte Carlo模拟方法对不同CPPI策略进行仿真,结果表明:在离散时间条件下,当放大乘数m较小时,不同CPPI策略都能实现保本,但不同CPPI策略期末价值差别明显.CPPI strategy is an important investment portfolio insurance strategy. It has been widely applied to capital preservation fund, insurance and other fields. Lots of researches about CPPI strategy are concerned with markets in continuous time., This paper studies the CPPI strategy in discrete time, introduces stock index futures as a risk asset, and modifies the traditional CPPI strategies. The performances of the improved CPPI strategy and the traditional CPPI strategy under different market conditions are investigated. The Monte Carlo simulation shows that in discrete time case when the multiplier m is small both the improved CPPI strategy and traditional CPPI strategy can achieve ＂capital protection＂ but their terminal values are different.

关 键 词：保本策略 CPPI策略 MONTE CARLO模拟 投资组合 

分 类 号：F830[经济管理—金融学] F224