基于均值回复的逆周期策略在组合保险中的应用研究

Application of the Counter-.cyclical Strategy in Portfolio Insurance Based on Mean-.reverting Property

固定比例投资组合保险策略(CPPI)与时间不变性投资组合保险策略(TIPP)是两类重要的组合保险策略,多用于变额年金的投资,可以在保证最低回报的同时分享股票市场的上行收益。但是,风险乘数固定不变,不利于改善变额年金绩效和及时规避风险。目前大部分风险乘数动态调整策略,主要基于股市短线追涨杀跌的动量特征,实证效果并不稳健。本文参考了关于我国股票市场均值回复性质的若干研究,从逆周期的视角对CPPI和TIPP的风险乘数进行调整。结果显示,从中长期来看,逆周期调整的组合保险策略投资绩效显著优于固定风险乘数的策略。同时,实证结果对于全部参数的拓展取值区间都是不敏感和稳健的,表明逆周期策略有很强的可操作性和实践意义。

Constant Proportion Portfolio Insurance（CPPI） and Time Invariant Portfolio Insurance（TIPP） strategies are two kinds of important portfolio insurance strategies,and are widely used in the variable annuity investment to limit the losses and share the gains from the stock market.However,under the fixed risk multiplier mechanism,it is difficult to improve the performance of variable annuity while avoiding risks.While in the dynamic risk multiplier mechanism,most strategies are based on the momentum property of the stock market chasing the winner and cutting the loser,and the empirical simulations are not robust.In this paper,we explored the mean-.reverting property of China＇s stock market,and adjusted the risk multiplier of CPPI and TIPP strategies from the counter-.cyclical perspective.The results showed that,in the medium to long term,the counter-.cyclical revised risk multiplier strategy was significantly better than the fixed risk multiplier strategy.At the same time,the empirical results were insensitive and robust with respect to the expansion of all parameters,which showed that the counter-.cyclical strategy was of a great practical significance.