| 基于期权理论的动态证券资产配置策略研究 |
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| 引用本文： | 王铁锋,张屹山.基于期权理论的动态证券资产配置策略研究[J].财贸经济,2004(6):22-25. |
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| 作者姓名： | 王铁锋 张屹山 |
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| 作者单位： | 1. 上海国家会计学院,201702
2. 吉林大学商学院,130012 |
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| 摘 要： | 本文试图通过对基于期权理论的动态证券资产配置策略进行研究,针对中国金融市场的不同行情走势,利用期权理论固定比例投资组合保险策略(CPPI)与时间不变性投资组合保险策略(TIPP)方法,设计保本型产品的投资组合保险策略.该策略以保本为第一考虑,可在保本的基础上,在最大程度上实现参与股市上涨的收益.
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| 关 键 词： | 期权理论 动态证券资产配置策略 投资组合保险策略 |
Modeling Study of Insurance Portfolio in China's Capital Market |
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| WANG Tiefeng,ZHANG Yishan Shanghai National Accounting Institue, Business School of Jilin University.Modeling Study of Insurance Portfolio in China''''s Capital Market[J].Finance & Trade Economics,2004(6):22-25. |
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| Authors: | WANG Tiefeng ZHANG Yishan Shanghai National Accounting Institue Business School of Jilin University |
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| Institution: | WANG Tiefeng,ZHANG Yishan Shanghai National Accounting Institue,201702 Business School of Jilin University,130012 |
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| Abstract: | The report is intended to study the methodologies of dynamic allocation for securities assets on the basis of the
theories for options. In order to limit the risk of the market value fluctuating in China's capital market, we de-
signed the portfolio insurance in light of Constant Proportion Portfolio Insurance (CPPI) and Time Invariant
Portfolio Protection (TIPP) methodologies. The most important consideration is to set a floor for the value of
the portfolio, and then to achieve the maximum participation in securities markets for the rising return. |
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| Keywords: | Option Theories the Dynamic Assets Allocation Methodologies the Investment Portfolio Protection Methodologies |
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