摘要
组合保险策略的最大特点是能够对下侧风险进行保护同时又能获得向上的潜在收益,因此,对该策略绩效的评价不能仅仅只是根据收益的某些统计特征,还应当考虑收益的分布情况。本文利用10年来上证综指获得的收益率数据,采用块自助模拟法对CPPI、TIPP和B&H投资组合策略绩效进行分析和评价,并引入随机占优理论比较判断各投资策略的占优关系。实证检验结果表明,总得来看三种策略之间并不存在占优策略,但在不同的市场表现下存在有相应的占优策略。
This paper evaluates the performance of CPPI,TIPP and B＆H based on a block-bootstrap simulation. We not only consider the traditional methods of measuresing performance, but also compare them to the more comprehensive stochastic dominance criteria in terms of portfolio insurance features which provide protection against market losses, while preserving the upward potential. Under different market conditions, performance of strategies is analyzed. Through the analysis of data about the rate of ruturns indicated by the compsite index of Shanghai Stock Exchange in the last 10 years, we find that, in terms of overall performance, no dominance relations are found between the PI and B＆H strategies based on SD, but in bear market CPPI outperforms, in fluctuation market TIPP is dominate and in bull market B＆H is the most appealing.
出处
《系统工程》
CSCD
北大核心
2009年第5期43-48,共6页
Systems Engineering
关键词
投资组合保险
绩效评估
随机占优
Portfolio Insurance
Performance Evaluation
Stochastic Dominance
