投资组合保险策略的比较研究

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英文篇名：A Comparative Study of Investment Portfolio Insurance Strategies 作者：宋博 ; 张洁 英文作者：SONG Bo;ZHANG Jie;School of Economics, Shenzhen University; 关键词：投资组合保险策略 ; PPO策略 ; 50ETF期权 ; TIPP策略 英文关键词：portfolio insurance strategy;;PPO strategy;;50ETF option;;TIPP strategy 中文刊名：SDSA 英文刊名：Journal of Shandong Institute of Commerce and Technology 机构：深圳大学经济学院; 出版日期：2019-02-15 出版单位：山东商业职业技术学院学报 年：2019 期：v.19;No.96 基金：2016年深圳保险学会研究课题“投资组合保险策略在保险公司中的应用”的研究成果 语种：中文; 页：SDSA201901003 页数：5 CN：01 ISSN：37-1382/Z 分类号：11-14+27

摘要

随着我国期权、期货等金融衍生产品种类的不断丰富,我国投资者的投资渠道越来越多。简要介绍了B&H策略、PPO策略、CPPI策略和TIPP策略等投资组合保险策略的运作原理;选取2015年3月24日至2017年3月22日50ETF及50ETF期权的数据作为研究标的,运用实证分析的方法比较不同类型及不同参数的投资组合保险策略分别在上涨、下跌和震荡期间的投资表现;比较了包含不同期权类型的PPO策略间的投资收益差异,给出了各投资组合保险策略的投资建议。
        With the continuous enrichment of financial derivatives such as options and futures, investors in China have more and more investment channels. This paper briefly introduces the operating principles of investment portfolio insurance strategies such as B&H strategy, PPO strategy, CPPT strategy and TIPP strategy. The data of 50 ETF and 50 ETF options from March 24, 2015 to March 22, 2017 were selected as the subject of research. The empirical analysis was used to compare the investment performance of investment portfolio insurance in different types with different parameters in bull market, bear market and shock market. The difference of investment returns between PPO strategies with different option types is compared, and the investment suggestions for each portfolio insurance strategy are given.

引文

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