构建证券组合保险的策略分析

Analysis on Strategies to Construct Portfolio Insurance

根据证券组合保险的原理和设计思想,介绍证券组合保险策略.重要的是给出基于期权的组合保险策略(OBPI)、固定组合保险策略(CM)、固定比例组合保险策略(CPPI)和时间不变性组合保险策略(TIPP)的简单数学模型和实践操作过程,并用上证180指数的股票组合为风险资产和债券为无风险资产构成证券组合进行实证模拟.根据实证结果,对比分析上述策略,提出相关的投资建议,说明如何在不限制盈利的同时规避风险.

The strategies of portfolio insurance are introduced according to its principles and design thinking. The authors give the simple mathematical models and practical processes of option-based portfolio insurance （OBPI）, constant mix（CM）, constant proportion portfolio insurance（CPPI）, and time-invariant portfolio protection（TIPP）, and use risky assets containing 180 index＇s stocks of Shang-hai Stock Exchange and risky-free assets containing bonds to form portfolio to do empirical simulating. Based on the results, they analyze the above strategies comparatively, gives the related investment suggestion, and shows how to avoid risk without restriction on profit.