摘要
投资组合保险交易策略是在保证一定财富水平的情况下,又不失去从有利市场中获利的机会。投资组合保险者将最低要保金额作为赢得或损失的参照点,这与展望理论所描述的决策行为是一致的。文章引入展望理论的价值函数建立一般均衡模型,模型推广了Basak的一般均衡模型,使其成为一个特例;同时,模型表明投资组合保险的存在将有效地降低市场波动率,进而降低风险溢价。
A portfolio insurance trading strategy is to participate in the potential gains while in the bad state which guarantees a minimum level of wealth. It makes the deadline as the conference of gains or losses, this is similar to prospect theory about the behavior of decision making. This paper constructs a general equilibrium model by introducing prospect theory into the insurer＇ s utility functions and shows the model which Basak constructed being a special case. Meanwhile, the paper shows the existence of portfolio insurance will decrease the volatility and hence the risk premium.
出处
《华东经济管理》
CSSCI
2011年第11期158-160,共3页
East China Economic Management
基金
国家自然科学基金项目(70771096)
