| CPPI投资组合保险策略的实证分析 |
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| 引用本文： | 杜少剑,陈伟忠,DU Shao-jian,CHEN Wei-zhong.CPPI投资组合保险策略的实证分析[J].财贸研究,2005(1):36-40. |
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| 作者姓名： | 杜少剑 陈伟忠 DU Shao-jian CHEN Wei-zhong |
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| 作者单位： | 同济大学,现代金融研究所,上海,200092 |
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| 基金项目： | 国家自然科学基金，70273027， |
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| 摘 要： | 本文首先简要介绍了CPPI投资组合保险策略,通过采用上证综合指数,对多头、空头和震荡三个时期,以及不同的最低保险额和乘数,对CPPI策略进行历史数据实证模拟,并与B&H策略做比较,发现CPPI策略在我国证券市场是能够起到有效保险作用的。
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| 关 键 词： | CPPI策略 B&H策略 实证分析 |
The Positive Test of the Portfolio Insurance on CPPI Strategy |
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| DU Shao-jian,CHEN Wei-zhong.The Positive Test of the Portfolio Insurance on CPPI Strategy[J].Finance and Trade Research,2005(1):36-40. |
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| Authors: | DU Shao-jian CHEN Wei-zhong |
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| Abstract: | Based on the brief introduction of the CPPI strategy, this paper testifies positively the CPPI strategy by historical data of composite index of shanghai stock exchange at different periods including long position, short position and concussive period, and at different minimum insured values and multipliers. By comparing with B&H strategy, we find that CPPI strategy is efficacious in China's security market. |
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| Keywords: | CPPI strategy B&H strategy positive testified analysis |
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