摘要
组合保险策略利用期权、期货或模拟期权等衍生金融工具对冲和转嫁风险,金融衍生工具以风险资产作为标的物,其价格受风险资产价格的影响,因此组合保险策略本身也将存在一定的风险。本文利用均值-方差法衡量组合保险策略风险,讨论在投资组合保险满足一定收益时风险最小条件下,保障投资组合保险策略实施的最低收益有效条件以及最低风险控制条件,为我国开发金融衍生工具奠定了理论基础。
With options, futures and other financial derivatives, the portfolio insurance strategy can hedge against and transfer risks. Risk capital is the underlying asset of financial derivatives whose prices are influenced by market price, there is risk in portfolio insurance strategies. This paper evaluated the risk of portfolio insurance through the rain-variance model, and worked out the effective conditions for minimum revenue as well as the minimum risk control conditions after the implementation of the strategies to ensure the portfolio insurance, to provide the academic barn for exploring financial derivatives in China market.
出处
《系统工程》
CSCD
北大核心
2006年第11期106-108,共3页
Systems Engineering
基金
国家社科基金资助项目(06BJY006)
