摘要
文章基于谱风险测度的风险预算和资产价格运动的双指数跳跃扩散过程,建立谱风险预算投资组合保险模型。案例模拟结果表明该模型能有效规避下方风险,并随着投资者风险厌恶程度的增加,投资组合的绩效下降;对于具有一般风险厌恶的投资者,该模型绩效与CPPI、OBPI策略的绩效接近,当投资者的风险厌恶程度较低时,其绩效优于CPPI、OBPI策略。
The portfolio insurance model is introduced based on the risk budgeting with the spectral risk measures and the stock price following double exponentially jump diffusion process.The simulation shows that the model can effectively avoid downside risk and the performance of the model decreases with the increasing of risk aversion.And the performance corre sponds closely to the CPPI and OBPI’s for the investor with the average risk aversion.The performance of this model outper forms the CPPI and OBPI’s when the investor with lower risk aversion.
出处
《华东经济管理》
CSSCI
2013年第1期170-173,共4页
East China Economic Management
基金
国家自然科学基金项目(70771096)
关键词
谱风险测度
双指数跳跃扩散过程
风险预算
投资组合保险
spectral risk measures
double exponentially jump-diffusion process
risk budget
portfolio insurance
