摘要
伴随全球金融市场的急剧波动,投资组合保险策略研究引起理论界和金融实务界的广泛关注。在时间不变性组合保险(TIPP)策略和价值增长(VGPI)策略基础上,可进一步提出均衡增长保险(EGPI)策略。利用上证综合指数,分别检验多头、空头、震荡时期内TIPP策略、VGPI策略、EGPI策略在不同保险比率不同风险乘数设定下的期末资产价值和交易成本,发现EGPI策略在现实操作中有比较明显的优势。
With the volatility of the global financial market, studies of portfolio insurance strategy have attracted wide attention of both the theoretical circle and the financial circle. The paper, based on the TIPP （time-invariant portfolio protection investment） strategy and the VGPI （value grow portfolio insurance） strategy, proposed the EGPI （equilibrium-value grow portfolio insurance） strategy and, targeting at the composite index of Shanghai Stock Exchange, tested the performances of three above- mentioned strategies under different settings of minimum insured values and risk multipliers and in periods including long position, short position and concussive position. The asset value and transaction cost were compared and the results indicate that the EGPI strategy shows its comparatively apparent advantage in the practice.
出处
《西南交通大学学报（社会科学版）》
2008年第2期88-91,共4页
Journal of Southwest Jiaotong University(Social Sciences)
基金
国家自然科学基金项目(77071096)
