摘要
本文试图通过对基于期权理论的动态证券资产配置策略进行研究,针对中国金融市场的不同行情走势,利用期权理论固定比例投资组合保险策略(CPPI)与时间不变性投资组合保险策略(TIPP)方法,设计保本型产品的投资组合保险策略。该策略以保本为第一考虑,可在保本的基础上,在最大程度上实现参与股市上涨的收益。
The report is intended to study the methodologies of dynamic allocation for securities assets on the basis of the
theories for options. In order to limit the risk of the market value fluctuating in China's capital market, we de-
signed the portfolio insurance in light of Constant Proportion Portfolio Insurance (CPPI) and Time Invariant
Portfolio Protection (TIPP) methodologies. The most important consideration is to set a floor for the value of
the portfolio, and then to achieve the maximum participation in securities markets for the rising return.
出处
《财贸经济》
CSSCI
北大核心
2004年第6期22-25,共4页
Finance & Trade Economics
