基于风险调整指标RAROC的投资组合保险策略研究

发布时间：2018-02-27 05:09

本文关键词： 投资组合保险 RAROC VaR CPPI TIPP　出处：《经济管理》2012年04期 　论文类型：期刊论文

【摘要】：投资组合保险策略一方面被用于规避和管理市场风险,另一方面由于策略本身的特殊性面临着潜在的风险。本文在传统的ROC指标中加入用来衡量组合保险策略风险的VaR,其核心思想是将未来可预见的损失也考虑在内,衡量经风险调整后的收益大小,构建出一个经风险调整后的指标RAROC,用来衡量组合保险策略单位风险的回报,并与传统的绩效评价指标期末资产值、收益率、偏度指标等进行比较,采用不同的风险乘数及不同的要保额度,分析在多头、空头及震荡市场条件下,CPPI策略和TIPP策略与买入持有策略的表现。结果显示,在引入风险因子来衡量单位风险带来的收益时,各种策略在不同的市场表现明显有差别。在多头市场,CPPI策略的表现明显优于TIPP策略;在震荡市场,TIPP策略的表现明显优于CPPI策略;在空头市场,CPPI策略的表现优于TIPP策略。
[Abstract]:Portfolio insurance strategies are, on the one hand, used to circumvent and manage market risks, On the other hand, due to the particularity of the strategy itself, it faces the potential risk. This paper adds ROC to the traditional ROC index to measure the risk of portfolio insurance strategy, the core idea of which is to take into account the future foreseeable losses. By measuring the return after risk adjustment, a risk-adjusted index, RAROC-based, is constructed to measure the return of unit risk of portfolio insurance strategy, and to measure the return of unit risk of portfolio insurance strategy, and to compare with the traditional performance evaluation indicators, such as the end of asset value and the rate of return. The bias index is compared, and the performance of CPPI strategy, TIPP strategy and buy-holding strategy under the condition of long, short and volatile market are analyzed by using different risk multipliers and different guaranteed quotas. When the risk factor is introduced to measure the income brought by unit risk, the performance of various strategies is obviously different in different markets, the performance of TIPP strategy is obviously superior to that of TIPP strategy in long market, and the performance of CPPI strategy is obviously superior to that of CPPI strategy in volatile market. CPPI strategy outperforms TIPP strategy in short market.
【作者单位】：河南大学管理科学与工程研究所;
【基金】：国家自然科学基金项目“极端风险条件下投资组合保险模型及优化研究”(71101045) 河南省青年骨干教师支持计划(2010GGJS-031) 河南省高校科技创新人才支持计划(2009HASTIT017)
【分类号】：F224;F830.59;F840

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