组合保险论文：投资组合保险策略及其实证研究

组合保险论文：投资组合保险策略及其实证研究

【中文摘要】2008年由美国次贷危机引起的华尔街风暴,导致全球股市应声大跌,进而演变成为全球性的金融危机。这个过程发展之快,数量之大,影响之巨,可以说是人们始料不及的,许多投资者甚至是政府的财富大量缩水。因此如何把握住投资收益和风险的控制平衡问题始终是金融投资领域和投资决策中的核心内容之一。投资组合保险便是保证有价证券的价值不低于某一确定的水平,可使拥有高度分散化证券组合的投资者从股票市场的价格上升中获得利润,但又避免股票市场价格下跌所带来的损失的强有效措施。正如中国股市无法在全球化经济下独善其身,本文在充分研究各类投资组合保险的基础上,在实证分析中拟将上海市场和深圳证券市场互为参照,引用修正夏普比率、平均超额回报等绩效指标比较分析上海深圳两类证券市场三种最为典型的组合保险策略(OBPI、CPPI、CM)的绩效水平。本论文将两个市场的投资时期分为多头、盘整和空头时期,运用EVIEWS等统计软件分析组合保险前后波动性情况以及各类时期组合保险绩效最优情况,并且将影响组合保险绩效的投保比例,乘数等因素深入研究得出实证结论。本文的创新点在于提出利用深圳证券市场作为上海证券市场组合保险绩效的对比参照物,更加直观说明组合保险各种策略在中国的适用性;在夏普比率的基础上加以改正,引用了修正夏普比率作为绩效评价的重要指标之一,克服了在夏普比率为负数的时候结果无法进行比较的问题。实证结果表明,中国目前的金融市场已经基本满足了动态资产保险策略应用的条件,在中国推行CM、CPPI和OBPI这三种动态组合保险策略是可行的,各类策略基本上是在空头时期保险额度越大,乘数越小效果越佳。虽然上海市场整体波动水平不如深圳市场剧烈,但在多头、盘整和空头时期中两个市场组合保险绩效及最优策略不尽相同。

【英文摘要】The Wall Street turmoil caused by the subprime mortgage crisis of the U.S in 2008 has made the global stock markets fall sharply. After that it evolved into a global financial crisis. The process developed so rapidly and widely that it is beyond the forecast of everybody. Many investors, even the governments made their wealth shrink in a large number. Therefore, how to seize control of the balance of investment income and risk has always been core contents of financial investment and the decision-making in investment. Portfolio insurance can ensure that the value of securities will be less than a defined level, not only it enable investors gain profits from the increasing stock prices, but also avoid losses caused by the stock market prices down.As the stock market of china is not isolated from the global economy, this paper takes the Shenzhen stock market as a reference to do empirical analysis. After making full research of different kinds of Portfolio Insurance, it analyzes the levels of performance with three most typical portfolio insurance strategies (OBPI, CPPI and CM) between the stock markets of Shanghai and Shenzhen by using performance indicators, such as Modified Shape ratio. The paper puts the market into there periods: bear market, bull market and vibration market. It analyzes the volatility and optimal situation of various periods by using the EVIEWS. It also makes empirical conclusions after making research of the factors, such as proportion of investment.The paper’s innovations are the ones that take the Shenzhen stock market as a reference which can explain intuitively the applicability of PI in the Shanghai market, and use Modified Shape ratio to be a performance indicator which will overcome the problem of comparing in vain when the Shape ratio is negative. The empirical results show that the current financial market in China has basically met the conditions of PI strategies, and the implementation of three dynamic portfolio insurance strategies is feasible:Basically, the strategies show it is more effective to have higher proportion of investment insurance and lower Multiplier in the bear market; Although the overall level of volatility in the Shanghai market is not severe as in Shenzhen, performance levels and optimal strategy are not always the same between two markets in the periods of the bull market, bear market and consolidation market.

【关键词】组合保险 修正夏普比率 组合保险绩效

【英文关键词】Portfolio insurance Modified Shape ratio PI performance

【目录】投资组合保险策略及其实证研究摘要6-7Abstract7-8第1章 概论11-191.1 研究背景11-121.2 研究意义12-131.3 国内外文献综述13-171.3.1 对组合保险的理论研究13-151.3.2 对组合保险的实证检验研究15-171.3.3 对研究现状的评述171.4 研究方法和技术路线17-19第2章 投资组合保险理论研究19-272.1 投资组合保险分类19-272.1.1 静态投资组合保险19-212.1.2 复制性卖权策略21-222.1.3 CPPI策略22-242.1.4 CM策略24-252.1.5 TIPP策略25-27第3章 研究方法和实证设计27-363.1 调整法则27-283.2 投资组合保险的绩效评估指标28-323.2.1 平均机会成本28-293.2.2 平均超额回报293.2.3 捕捉率293.2.4 特雷诺指数29-303.2.5 修正夏普比率30-323.3 样本选取323.4 基本假设及实证方法32-363.4.1 基本假设32-333.4.2 实证方法33-36第4章 实证结果研究36-504.1 两个市场证券指数走势分析36-374.2 投资组合保险收益率波动性分析37-384.3 两个市场组合保险前后收益率波动的检验38-404.4 两个市场不同时期组合保险策略最终资产价值比较分析40-434.5 两个市场不同时期各组合保险策略交易费用比较分析43-444.6 两个市场不同时期组合保险策略绩效评价指标比较分析44-50结论50-52参考文献52-56致谢56-57附录57-65

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