投资组合保险策略在财务公司投资业务中的应用探索及量化模型设计  

Application of Portfolio Insurance Strategy in Finance Company Investment Business and Quantitative Model Design

作　　者：刘军[1] Liu Jun(Sinopec Finance Co.,Ltd.,Beijing 100728,China)

机构地区：[1]中国石化财务有限责任公司投资银行部,北京100728

出　　处：《当代石油石化》2021年第12期44-49,共6页Petroleum & Petrochemical Today

摘　　要：根据《企业集团财务公司管理办法(修订稿)》的相关规定,财务公司可开展有价证券投资和金融机构股权投资等一系列的市场投资业务。在开展相关投资业务过程中,如何在现有专业能力和管理资源的条件下,采用先进的科学技术和管理策略将市场投资风险控制在可接受的范围内并获得所期望的收益,对财务公司来说是个重要的课题。文章通过梳理投资组合保险理论,创新设计与财务公司投资业务相适应的投资组合保险策略,采用VBA技术建立量化模型,并创建匹配的运行模式进行仿真模拟,为财务公司的市场投资业务探索一个新的资产管理模式。According to relevant regulations of the Administration of the Finance Companies of Enterprises Groups Procedures(Revised Version),finance companies can carry out a series of market investment business such as securities investment and equity investment of financial institutions.In the course of developing relevant investment business,under existing condition of professional ability and management resources,how to use advanced science and technology as well as management strategy to control market investment risks within a scope that is acceptable and acquire expected return,is an important issue for finance companies.Based on sorting out portfolio insurance theory,this paper innovatively designs portfolio insurance strategy suitable for finance company investment business,uses Visual Basic for Applications(VBA)technology to set up quantitative model,and establishes matched operating mode to carry out analogue simulation,exploring a new asset management mode for finance company in market investment business.

关 键 词：财务公司 投资组合 保险策略 量化模型 

分 类 号：F832.39[经济管理—金融学]