跳跃风险下离散交易的CPPI策略有效性

发布时间：2018-03-07 02:29

本文选题：固定比例投资组合保险　切入点：跳跃风险　出处：《系统工程学报》2017年05期 　论文类型：期刊论文

【摘要】：研究在风险资产存在向下跳跃风险的条件下,离散交易时间的固定比例投资组合保险(constant proportion portfolio insurance,CPPI)策略的有效性问题,并利用蒙特卡洛模拟数据分析策略的有效性条件.结论显示,存在向下跳跃的风险时,离散时间交易的CPPI策略价值不能保证投资组合在剩余期限内任意时点的价值均高于该时点最低要保额度的价值;CPPI策略期末价值比不存在跳跃时低;CPPI策略失效概率与风险资产的价格波动率、跳跃幅度、跳跃频率正相关;缺口概率和期望缺口与风险乘数正相关;缺口概率和期望缺口与交易频率不存在单调递减关系;模拟数据显示在跳跃幅度高频率小和跳跃幅度低频率高的情况下,风险乘数小于7时的CPPI策略是基本有效的,中国保本基金的公告中显示CPPI策略在运作过程中放大乘数最大为5,因此,中国金融市场上存在跳跃风险时,实施CPPI策略也能够达到保本的目的.
[Abstract]:This paper studies the effectiveness of proportion portfolio insurance (CPPI) strategy with discrete trading time under the condition that there is a downward jump risk in risky assets, and uses Monte Carlo simulation data to analyze the effectiveness conditions of the strategy. When there is a risk of jumping down, The value of CPPI policy in discrete time trading cannot guarantee that the value of the portfolio at any time point in the remaining period is higher than the value of the minimum insured value at that point. The end value of the CPPI policy is lower than that of the non-jump period. And the price volatility of risky assets, Jump amplitude, jump frequency, gap probability and expected gap are positively correlated with risk multiplier, gap probability and expected gap have no monotone decreasing relationship with transaction frequency. The simulated data show that the CPPI strategy with the risk multiplier less than 7:00 is basically effective when the jump amplitude is small and the jump amplitude is low and the frequency is high. The announcement of China Capital Preservation Fund shows that the maximum multiplier of CPPI strategy is 5 in the process of operation. Therefore, when there is jump risk in Chinese financial market, the implementation of CPPI strategy can also achieve the purpose of capital preservation.
【作者单位】：河南大学管理科学与工程研究所;阿尔斯特大学商学院;
【基金】：国家自然科学基金资助项目(71101045) 国家留学基金委资助项目(201408410027) 河南省青年骨干教师支持计划资助项目(2010GGJS-031) 国家社会科学基金资助项目(17BJY194)
【分类号】：F832.51

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