摘要
本文介绍了四种基于期权理论的动态投资组合保险策略:期权复制保险策略(SCO)、固定组合策略(CM)、固定比例投资组合保险策略(CPPI)和时间不变投资组合保险策略(TIPP)。在交易型开放式指数基金ETF推出之际,应用CPPI和TIPP投资于上证180指数,并对这两种策略在不同市场走势下的表现进行了比较,给出了不同参数下两种策略的投资绩效。结果表明,在股市先跌后涨和先涨后跌两种市场走势下,CPPI和TIPP都能达到保本的目的,CPPI比较适用于牛市,TIPP比较适用于先涨后跌和先涨后震荡的市场。
This paper introduces the primary principle of four dynamical portfolio insurance strategies based on option theories: SCO?CM?CPPI and TIPP. At the initial issue of ETF, we invest in 180 indexes of shanghai securities market using CPPI and TIPP, and then compare their performance under different market conditions. The results indicate that CPPI and TIPP can both guarantee the value of principal, CPPI is suitable when used in bull market, and TIPP is fit for the market which fall after rise or shake after rise. Application Research
出处
《管理评论》
2005年第7期10-14,共5页
Management Review
基金
上海市哲学社会科学规划课题(2003BJL007)。
