摘要
随着选择权理论应用的发展，投资组合保险已逐渐成为一种盛行的资产分配策略，在投资组合保险运作的工具中，以指数期货最为便利，指数期货能让投资者以较低的交易成本调整其投资组合以适应市场变化。以指数期货为投资组合的套头交易工具，并借动态交易策略连续调整指数期货部位，复制卖出选择权，以达到投资组合保险的目的。
With the development of option theory application ,portfolio insurance has gradually become the prevailing strategy taken for capital distribution. Index futures ,which is the most convenient tool for portfolio insurance among others, can be used by investor to adjust his investment at a lower price under changeable market. It is discussed in this article how the index futures is used as hedging tool for investment to realize the aim of portfolio insurance while the put option is copied and the index futures is continously adjusted through dynamic hedging methods.
出处
《广东商学院学报》
1999年第2期53-58,共6页
Journal of Guangdong University of Business Studies
