投资组合保险绩效评价——基于VaR和ES的实证研究

The Empirical Study about Portfolio Insurance Performance——Based on VaR and ES

以Monte Carlo模拟方法对投资组合中风险资产的收益率数据进行t分布的随机生成为基础,引入风险价值、期望不足作为投资组合保险策略绩效评价指标,将OBPI策略、CPPI策略和TIPP策略的绩效与B&H策略、CM策略的绩效进行比较,发现:基于风险价值、期望不足与基于标准差、SHARP比率的绩效评价不一致;基于风险价值、期望不足的绩效评价反映了高风险高回报的一般规律,而将标准差、SHARP比率作为度量风险的指标并不支持这一规律。

By using Monte Carlo simulation method, on the basis of the randomly generated return of risk assets of portfolio with t distribution, we have introduced VaR and ES as performance indicators of portfolio insurance, and compared OBPI strategy, CPPI strategy and TIPP strategy with B＆H and CM strategies. The empirical result shows that there is contradiction between the performances of portfolio insurance based on VaR and ES and on Standard Deviation and SHARP ratio; and the law of high risk with high return is supported by VaR and ES, but not by Standard Deviation and SHARP ratio.