作　　者： ;

机构地区： 广东财经大学

出　　处： 《金融经济学研究》 2014年第2期45-52,共8页

摘　　要： 从投资流程、风险资产动态监控调整、到期支付函数等方面研究了投资组合保险CPPI的运作机理，基于回溯测试方法对中国证券市场CPPI策略的风险收益特征进行了实证分析。研究显示，CPPI策略在有效控制下行市场风险的同时，给予了投资者在一个上行市场中的参与机会。通过引入现金借贷机制、强制分红或拆分条款及现金事件投资者选择权等，对标准CPPI策略进行优化修正之后的模拟收益优于简单指数投资策略，且波动性显著降低。 This article studied CPPI operating mechanism from the aspects such as the investment process, dynamic monitoring of risk assets and due payment function, as well as carried an empirical research on the risk and return characteristics of CPPI based on the back testing methods in China securities market. The study found that CPPI controls the downside market risk effectively, also gives investors participation opportunities in an up- ward market at the same time. By introducing mechanism of borrowing, forced terms of cash dividend or principal split, and cash event options, etc. , optimized CPPI yields better than the index investment strategy and the volatility was reduced significantly.

关 键 词： 恒定比例投资组合保险 安全偏距 策略优化 回溯测试

分 类 号： [F842.6]

领　　域： []