跳跃风险下离散交易的CPPI策略有效性

Effectiveness of CPPI strategy for discrete transaction under jump risk

研究在风险资产存在向下跳跃风险的条件下,离散交易时间的固定比例投资组合保险(constant proportion portfolio insurance,CPPI)策略的有效性问题,并利用蒙特卡洛模拟数据分析策略的有效性条件.结论显示,存在向下跳跃的风险时,离散时间交易的CPPI策略价值不能保证投资组合在剩余期限内任意时点的价值均高于该时点最低要保额度的价值;CPPI策略期末价值比不存在跳跃时低;CPPI策略失效概率与风险资产的价格波动率、跳跃幅度、跳跃频率正相关;缺口概率和期望缺口与风险乘数正相关;缺口概率和期望缺口与交易频率不存在单调递减关系;模拟数据显示在跳跃幅度高频率小和跳跃幅度低频率高的情况下,风险乘数小于7时的CPPI策略是基本有效的,中国保本基金的公告中显示CPPI策略在运作过程中放大乘数最大为5,因此,中国金融市场上存在跳跃风险时,实施CPPI策略也能够达到保本的目的.

The focus of this paper is to verify the effectiveness of constant proportion portfolio insurance（CPPI） strategies under discrete-time trading in the presence of downside jumps risk. Moreover, it analyzes under what circumstances CPPI strategies are effective by using the Monte Carlo simulation. The results firstly show that the portfolio value of CPPI strategies goes down below the floor level. Secondly, under discrete-time trading with downside jumps, the portfolio value is lower than that without jumps. The paper also finds that the shortfall probability of the CPPI strategies is positively correlated with the volatility of the risky asset and jump parameters. Similarly, this paper shows a positive relationship between the shortfall probability, expected shortfall and the multiplier m. However, neither of them is monotonically decreasing in the number of rehedgeing. Finally, the analysis of the Monte-Carlo simulation shows that when the multiplier is smaller than 7, the CPPI strategy is effective with the lower jump height and the higher jump frequency or with the higher jump height and the lower jump frequency. Guaranteed fund announcements reveal that the biggest multiplier of the guaranteed funds is 5 in the Chinese market, therefore, this paper can conclude that the CPPI strategies are still effective in China when the jumps risk exists.