几何平均价格投资组合保险策略研究及实证分析
发布时间：2019-03-06 09:07
【摘要】：金融危机之后，全球金融市场一片低迷，不确定因素不断增加，我国股票市场也随之加剧波动。在这一背景下，投资者不再盲目追逐伴有高风险的高收益资产，而是注重资产的保值增值能力。投资组合保险策略由于具有锁定风险资产组合下跌的风险，同时又不失向上捕获收益的特点，因此，受到国内外投资者和投资机构的广泛重视和关注。 投资组合保险理论兴起于20世纪80年代的美国，经过30多年的发展，已经取得了巨大进步。但到目前为止，绝大部分投资组合保险策略的选择还都是基于标准期权，尤其是欧式期权（European options）。以目前投资者常采用的CPPI策略来说，由于其组合的最终价值只依赖于到期日标的风险资产的市场价格和执行价格，所以市场的波动将导致投资组合最终价值具有高度的不确定性。为了能够大大降低市场波动对组合最终价值的影响，本文将亚式期权理论中几何平均价格的思想引入到投资组合保险中，设计了一种基于几何平均价格的投资组合保险（GAPPI）策略。由于亚式期权具有强路径依赖的性质，因此引入亚式期权，一方面可以避免投机者在接近到期日时通过操纵标的资产价格来牟取暴力的可能，另一方面随着到期日的临近，对过去价格依赖性的增强将大大降低投资组合的波动性。 本文首先对投资组合保险理论及各种策略做了归纳概括，随后引入几何平均价格构造了一种基于几何平均价格的投资组合保险(GAPPI)策略,并结合我国上证综指的历史数据，实证分析不同风险乘数及不同要保比例下，，该策略在多头、空头和震荡行情下的表现，并与传统的CPPI策略和TIPP策略进行对比。通过对比分析发现：不论是在多头、空头，还是震荡行情下，GAPPI策略、CPPI策略和TIPP策略均能够保证期末投资组合价值高于期初的要保额度，均具有较好的保险效果；在多头时期，CPPI策略向上捕获收益的能力明显占优，TIPP策略次之，GAPPI策略相对较弱，但在收益率的波动性和交易成本方面，CPPI策略和TIPP策略不如GAPPI策略理想，并且在这一时期，乘数增大能够大幅增强三种策略向上获益的能力，而要保比例的增大则限制了这种能力；在空头时期，GAPPI策略保本能力最强、收益率波动最小、交易成本最低，整体表现最优，CPPI策略和TIPP策略表现相当，并且在这一时期乘数的增大会导致投资组合价值的损失，收益波动性和交易成本不断加大，而要保比例的增大则刚好相反；震荡时期，GAPPI策略不仅达到资产保值的目的，而且还实现了资产的增值，并且收益率的波动性和交易成本也都远低于CPPI策略和TIPP策略，TIPP策略由于受到要保额度不断增大的调整，降低了股价下跌带来的风险，因此其表现也要优于CPPI策略，并且在这一时期，乘数的增大导致GAPPI策略和TIPP策略的期末收益增加，CPPI策略的期末收益下降，而期初要保比例的增大则刚好导致相反的结果。
[Abstract]:After the financial crisis, the global financial market is depressed, the uncertain factors are increasing, and the stock market of our country also aggravates the fluctuation. In this context, investors no longer blindly pursue high-yield assets with high risk, but pay attention to the ability to maintain and increase the value of assets. Portfolio insurance strategy has the characteristics of locking the risk of portfolio decline and capturing returns upward, so it has been paid more and more attention by investors and investment institutions at home and abroad. Portfolio insurance theory arose in the United States in 1980's. After more than 30 years of development, it has made great progress. But up to now, most of the portfolio insurance strategies have been based on standard options, especially European option (European options). As far as the current CPPI strategy is concerned, because the final value of its portfolio depends only on the market price and execution price of the risky assets under maturity date, So the volatility of the market will lead to a high degree of uncertainty about the final value of the portfolio. In order to reduce the influence of market volatility on the final value of portfolio, this paper introduces the idea of geometric average price in Asian option theory into portfolio insurance. This paper designs a portfolio insurance (GAPPI) strategy based on geometric average price. Because of the strong path dependence of Asian options, the introduction of Asian options, on the one hand, can avoid the possibility of speculators manipulating the underlying asset prices to obtain violence when approaching the maturity date, on the other hand, with the approaching of the maturity date, the Asian option can avoid the possibility of violence by manipulating the underlying asset prices. An increase in price dependence in the past will significantly reduce the volatility of the portfolio. This paper first summarizes the portfolio insurance theory and various strategies, and then introduces the geometric average price to construct a kind of portfolio insurance (GAPPI) strategy based on the geometric average price, and combines the historical data of the Shanghai Composite Index in China. An empirical analysis is made on the performance of the strategy under the conditions of long, short and volatile market under different risk multipliers and different coverage ratios, and compared with the traditional CPPI strategy and TIPP strategy. Through the comparative analysis, it is found that GAPPI strategy, CPPI strategy and TIPP strategy can ensure that the value of the final portfolio is higher than the amount of insurance required at the beginning of the period under the condition of long, short or volatile market, and all of them have better insurance effect. In the long-term period, the ability of CPPI strategy to capture returns up is obviously superior, followed by TIPP strategy, and GAPPI strategy is relatively weak. But in terms of return volatility and transaction cost, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy, and in this period, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy. The increase of the multiplier can greatly enhance the ability of the three strategies to benefit upward, and the increase of the proportion of the three strategies limits the ability. In the short period, GAPPI strategy has the strongest capital preservation ability, the smallest volatility of return, the lowest transaction cost, and the best overall performance. The performance of CPPI strategy is equal to that of TIPP strategy, and the increase of multiplier in this period will lead to the loss of portfolio value. Income volatility and transaction costs continue to increase, while the increase in the proportion to be guaranteed is just the opposite; During the period of concussion, GAPPI strategy not only achieved the goal of preserving assets, but also realized the value-added of assets, and the volatility and transaction cost of return rate were much lower than those of CPPI strategy and TIPP strategy. The TIPP strategy also outperforms the CPPI strategy because it is adjusted by the ever-increasing coverage to reduce the risk of falling stock prices, and during this period, the increase in multipliers led to an increase in the end-of-term earnings of the GAPPI strategy and the TIPP strategy. The end-of-term earnings of the CPPI strategy decline, while the increase in the initial coverage ratio leads to the opposite result.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.59
本文编号：2435390
[Abstract]:After the financial crisis, the global financial market is depressed, the uncertain factors are increasing, and the stock market of our country also aggravates the fluctuation. In this context, investors no longer blindly pursue high-yield assets with high risk, but pay attention to the ability to maintain and increase the value of assets. Portfolio insurance strategy has the characteristics of locking the risk of portfolio decline and capturing returns upward, so it has been paid more and more attention by investors and investment institutions at home and abroad. Portfolio insurance theory arose in the United States in 1980's. After more than 30 years of development, it has made great progress. But up to now, most of the portfolio insurance strategies have been based on standard options, especially European option (European options). As far as the current CPPI strategy is concerned, because the final value of its portfolio depends only on the market price and execution price of the risky assets under maturity date, So the volatility of the market will lead to a high degree of uncertainty about the final value of the portfolio. In order to reduce the influence of market volatility on the final value of portfolio, this paper introduces the idea of geometric average price in Asian option theory into portfolio insurance. This paper designs a portfolio insurance (GAPPI) strategy based on geometric average price. Because of the strong path dependence of Asian options, the introduction of Asian options, on the one hand, can avoid the possibility of speculators manipulating the underlying asset prices to obtain violence when approaching the maturity date, on the other hand, with the approaching of the maturity date, the Asian option can avoid the possibility of violence by manipulating the underlying asset prices. An increase in price dependence in the past will significantly reduce the volatility of the portfolio. This paper first summarizes the portfolio insurance theory and various strategies, and then introduces the geometric average price to construct a kind of portfolio insurance (GAPPI) strategy based on the geometric average price, and combines the historical data of the Shanghai Composite Index in China. An empirical analysis is made on the performance of the strategy under the conditions of long, short and volatile market under different risk multipliers and different coverage ratios, and compared with the traditional CPPI strategy and TIPP strategy. Through the comparative analysis, it is found that GAPPI strategy, CPPI strategy and TIPP strategy can ensure that the value of the final portfolio is higher than the amount of insurance required at the beginning of the period under the condition of long, short or volatile market, and all of them have better insurance effect. In the long-term period, the ability of CPPI strategy to capture returns up is obviously superior, followed by TIPP strategy, and GAPPI strategy is relatively weak. But in terms of return volatility and transaction cost, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy, and in this period, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy. The increase of the multiplier can greatly enhance the ability of the three strategies to benefit upward, and the increase of the proportion of the three strategies limits the ability. In the short period, GAPPI strategy has the strongest capital preservation ability, the smallest volatility of return, the lowest transaction cost, and the best overall performance. The performance of CPPI strategy is equal to that of TIPP strategy, and the increase of multiplier in this period will lead to the loss of portfolio value. Income volatility and transaction costs continue to increase, while the increase in the proportion to be guaranteed is just the opposite; During the period of concussion, GAPPI strategy not only achieved the goal of preserving assets, but also realized the value-added of assets, and the volatility and transaction cost of return rate were much lower than those of CPPI strategy and TIPP strategy. The TIPP strategy also outperforms the CPPI strategy because it is adjusted by the ever-increasing coverage to reduce the risk of falling stock prices, and during this period, the increase in multipliers led to an increase in the end-of-term earnings of the GAPPI strategy and the TIPP strategy. The end-of-term earnings of the CPPI strategy decline, while the increase in the initial coverage ratio leads to the opposite result.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.59
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