摘要
为避险投资者实现保本目的所惯常应用的基于波动率的组合保险策略,往往会因为波动率无法测知资产下行波动风险而失效。为此,本文提出了可以很好捕捉资产价格下行信息的基于半方差的组合保险策略。借助于该策略,本文选择我国沪深300指数进行回测分析发现:(1)相比基于波动率的基准策略,本文策略既实现了保本,又大幅提高了投资组合在单位损失下的期望收益,更符合投资者"抗跌保涨"的避险需求;(2)无论是在完全保本还是在部分保本的情形下,本文策略相比基准策略对投资绩效都有明显改善;(3)频繁调仓带来的交易成本以及外部杠杆的使用会覆盖本文策略的绩效优势。因此建议在采取本文策略时降低调仓频率并且不使用外部杠杆。本文对长期风险规避且追求稳健收益的个人或机构投资者具有一定参考价值。
The drawback of a portfolio insurance strategy based on volatility is that it could not measure the downside volatility risk concerned by investors with low-risk tolerance.We propose a portfolio insurance strategy based on semi-variance to better capture information about price drops.Through a drawback test on CSI 300 index,we find that:(1)Compared with the benchmark strategy based on volatility,our strategy manages to cover the principal and significantly increases the expected return relative to unit loss,which can better meet the investors’needs of resisting loss and getting return.(2)In either total or partial principal coverage,our strategy provides more prominent portfolio performance than the benchmark strategy.(3)Frequent trading brings excess transaction costs,and this could overwhelm our strategy’s performance superiority,so could the use of external leverage.Therefore we suggest decreasing the trading frequency and not using external leverage when our strategy is taken.Our strategy might be enlightening for long-term investments by individuals or institutions featuring low-risk tolerance and aiming moderate return.
作者
张金清
张剑宇
Zhang Jinqing;Zhang Jianyu
出处
《统计研究》
CSSCI
北大核心
2021年第5期55-69,共15页
Statistical Research
基金
国家自然科学基金面上项目“经济增速下滑风险下我国商业银行最低流动性水平的确定及应对”(71771056)
国家自然科学基金面上项目“我国上市公司大股东违规的行为监测与风险评估”(71471043)
关键词
组合保险策略
半方差
避险策略
Portfolio Insurance Strategy
Semi-variance
Hedging Strategy
