基于马尔可夫链的动态CPPI投资策略及实证分析

A Dynamic Strategy of Improved CPPI on Markov and Its Empirical Research

在固定比例组合保险策略(CPPI)的基础上,通过引入马尔可夫链构成一种CPPI的改进策略——基于马尔可夫链的动态CPPI策略。改进后的CPPI策略对风险资产的投资更为谨慎,实现了风险乘数的动态调节。选取上证180成份股中126只股票2004年11月9日—2011年12月15日的收盘价格数据,对融资融券策略、CPPI策略、基于马尔可夫链的动态CPPI策略进行实证研究。结果表明,改进后的策略整体投资效果比CPPI策略更好。

On the basis of CPPI （Constant Proportion Portfolio Insurance ） strategy, an improved strategy of CPPI called dynamic proportion portfolio insurance on Markov strategy was made by intro- ducing Markov chain into CPPI strategy. The improved CPPI strategy was more cautious on risk as- sets, and realized the dynamic adjustment of risk multiplier. The data of trading day＇ s closing prices from Nov. 9, 2004 to Dec. 15, 2011 for 126 stocks which were selected from the stocks of SSE con- stituent index was used for empirical research of margin strategy, CPPI strategy and the improved strategy. The results showed that the total effect of the improved strategy was even better than CPPI strategy.