结构化产品收益分配及投资策略的优化——基于结构化定增劣后级投资者视角

Optimizing the Income Distribution and Investment Strategy of Structured Products——From Private Placement'Inferior Grade

依据A公司投资伊利股份定向增发项目的样本数据,运用蒙特卡罗模拟方法,考量优先级收益分配及投资策略的改进效果。结果发现:改进后的私募结构化产品收益分配更为合理,具有更优的风险收益配置,从而,揭示市场价格波动在结构化产品内部的传递过程,劣后级资金的收益有相当比例是优先级资金收益的让渡。

This paper puts forward an improved structured product based on several extensive investigations and studies into the existing problems of structured products for private placement, according to the price upper-limit and Constant Proportion Portfolio Insurance. And we take the transaction data of investment that A company made in the private placement .of Yili Industrial Group as a sample to analyze the effect of this product on the basis of Monte Carlo Simulation. The improved structured product is conducive to a reasonable distribution of benefits, with better risk-return allocation, the paper reveals the market price fluctuation in the process of the internalization of the structured products, and the proportion of the income of the inferior grade is the transfer of the preferential gains.