摘要
根据期权定价理论,分析了投资组合保险策略与期权的关系及投资组合保险策略与凸收益函数的关系,通过建立投资组合保险模型,得出不同条件下购买投资组合保险投资者的特点如下:1)随着财富的增加他们的风险承受能力比市场一般投资者增加的快;2)他们的市场预期比一般市场投资者更乐观,并且受益于投资组合保险.
This paper analyzes not only the relationship of portfolio insurance strategy and option, but also that of portfolio insurance strategy and convex payoff function based on option pricing theory. By setting up portfolio insurance model we draw the conclusions of the characteristics of portfolio insurance investors under different conditions： 1） investors＇ risk tolerance increases with wealth more rapidly than that of the average investor; 2） investors＇ expectations are more optimistic than average, would benefit from portfolio insurance.
出处
《数学的实践与认识》
CSCD
北大核心
2009年第1期19-25,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金资助项目(70771096)
河南大学自然科学基金重点项目(07ZRZD008)
河南省高校科技创新人才支持计划项目(2009HASTIT017)
关键词
投资组合保险
市场预期
风险承受
期权
凸函数
portfolio insurance
market expectation
risk tolerance
convex function
