基于几何平均亚式期权的投资组合保险策略

Portfolio Insurance Strategy Based on the Geometric Average Asian Option

亚式期权具有强的路径依赖性质,传统投资组合保险中期末价值会受到投资期价格波动的影响,将几何平均价格的亚式期权思路引入到投资组合保险中,构造一种基于几何平均价格的投资组合保险策略(GAPPI),一方面,避免了投机者在接近到期日时通过操纵风险资产价格来牟取暴利的可能;另一方面,随着到期日的临近,通过对过去价格依赖性的增强将降低投资组合的波动性。结合我国金融市场的实际情况,采用上证综指的日收盘数据,在不同的风险乘数和要保额度下,分析了GAPPI策略在多头、空头和震荡行情下该策略的表现,并与传统的CPPI策略和TIPP策略进行对比。通过实证发现,多头市场中,由于CPPI策略更具有进攻性,其表现优于GAPPI策略和TIPP策略;空头和震荡市场中,GAPPI策略更为稳健保守,其表现均比CPPI策略和TIPP策略更优;如果市场走势不明朗或投资者难以做出判断时,可以根据投资者的风险喜好程度进行策略选择,对风险喜好型投资者而言,可以选择CPPI策略,以期在价格大幅上涨时获得较大收益;对风险厌恶型投资者而言,可以选择更为稳健保守的GAPPI策略。

Asian option is a type of path-dependent option.The portfolio at maturity is influenced by the volatility of the risky asset price.Therefore,this paper constructed a new strategy-geometric average price portfolio insurance（GAPPI）by introducing the geometric average price of Asian option,which,on the one hand,decreased the risk of the market manipulation by the speculator,and on the other hand,decreased the volatility of the portfolio by enhancing the dependency of the risky asset price.The performance of the GAPPI strategy was analyzed and compared with that of the traditional constant proportation portfolio insurance（CPPI）strategy and the time invariant portfolio protection（TIPP）strategy in the bull market,bear market,and the deer market with different risk multipliers using the daily closing price data of Shanghai Stock Exchange Index.The results show that the CPPI strategy is superior to the GAPPI strategy and the TIPP strategy because it is more active in the bull markets,while the GAPPI strategy performs significantly better than the CPPI strategy and the TIPP strategy in the bear market and the deer market.When investors cannot distinguish what kind of market it is,they choose the strategy according to their risk preferences.A risk-seeking investor may choose the CPPI strategy to gainthe profit in the rising market and the risk-averse investor may choose the conservative GAPPI strategy.