投资组合保险CPPI策略研究

SOME RESEARCHES ON INVESTMENT PORTFOLIO INSURANCE CPPI STRATEGY

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.

Investment portfolio insurances have been widely used in investment industry worldwide since the invention of option theory. Constant proportional portfolio insurance (CPPI) strategies are the first choices of the portfolio managers of large size safe type funds because of the simplicity of the models, the flexibility to include risk profiles of the investors and the easiness to implement. In this paper we generalize the simple CPPI strategies to more general classes and find the relationship between CPPI and options. We also discuss the effects on CPPI strategies of no borrow constraints. We test the application of CPPI strategies in Chinese stock markets.