基于动态风险乘数调整的CPPI和TIPP策略研究

发布时间：2018-03-28 15:12

本文选题：动态风险乘数　切入点：组合保险　出处：《管理评论》2012年04期

【摘要】：本文引入一个动态风险乘数调整因子,对CPPI和TIPP的风险乘数m进行动态调整,提出一种新的基于动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略,其中m由固定乘数变为随股价变动的动态乘数。在股价上涨时,动态乘数调整因子随之上涨,当股价下跌时,动态乘数调整因子随之下跌,由此起到股价上涨时扩大参与获利,股价下跌时更好的进行向下保护的目的。结合我国股市的实际数据,分析不同行情和不同影响因素下动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略的执行绩效,并与传统的CPPI和TIPP策略比较,结果显示基于动态风险乘数调整的CPPI(D-CPPI)和TIPP(D-TIPP)策略总体优于传统的CPPI和TIPP策略。
[Abstract]:In this paper, a dynamic risk multiplier adjustment factor is introduced to dynamically adjust the risk multiplier m of CPPI and TIPP, and a new CPPII-CPPI and TIPPD-TIPP) strategy based on dynamic risk multiplier adjustment is proposed. Where m changes from a fixed multiplier to a dynamic multiplier with the stock price. When the stock price rises, the dynamic multiplier adjustment factor rises, and when the stock price falls, the dynamic multiplier adjustment factor falls, thereby increasing participation in the profit when the stock price rises. Combined with the actual data of China's stock market, this paper analyzes the performance of CPPII-CPPI and TIPPX D-TIPPI (dynamic risk multiplier adjustment under different market prices and different influencing factors), and compares them with the traditional CPPI and TIPP strategies. The results show that the CPPII-D-CPPI and TIPPD-TIPP) strategies based on dynamic risk multiplier adjustment are superior to the traditional CPPI and TIPP strategies.
【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(7110104570771096) 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;F830.91

【共引文献】