混合分数布朗运动环境下结合资产配置策略的多期收益保证价值的测算  

Pricing multi-period return guarantees combined with asset allocation strategy under mixed fractional Brownian motion

作　　者：邓艳莲 闫理坦[1] 

机构地区：[1]东华大学理学院,上海201620

出　　处：《黑龙江大学自然科学学报》2017年第2期127-133,共7页Journal of Natural Science of Heilongjiang University

基　　金：国家自然科学基金资助项目(11571071)

摘　　要：考虑Hurst指数大于四分之三的混合分数布朗运动驱动的风险性资产价格过程。在混合分数布朗运动环境下,测算结合CM策略和CPPI策略的多期收益保证价值。通过数值模拟,比较分析多期保证期限、金融市场重要参数和资产配置策略参数对两策略下多期收益保证价值的影响。Consider the price processes of risky assets driven by mixed fractional Brownian motion with Hurst index which is larger than 3/4. The value of multi-period return is guaranteed under CM strategy and CPPI strategy. Through the numerical simulation, the influence on the value of multi-period return guarantees under the two strategies is compared and analyzed which is made by the periods of multi-period return guarantees and the important parameters of the financial market and asset allocation strategy.

关 键 词：混合分数布朗运动 CM策略 CPPI策略 

分 类 号：O175.13[理学—数学]