本文關鍵詞：投資組合保險模型研究　出處：《西南交通大學》2012年博士論文　論文類型：學位論文

  更多相關文章： 投資組合保險 績效評價 譜風險測度 風險預算 展望理論

【摘要】：投資組合保險是一類具有保險性質的投資組合方式。不僅能獲得市場上升的收益,而且能避免市場下降的損失,因此受到風險厭惡者的歡迎。研究投資組合保險模型的保險機理,選擇合適的評價準則,對于深刻理解和運用投資組合保險模型具有重要的意義。 論文首先就投資組合保險模型的績效評價進行研究。文章引入度量風險的VaR(風險價值)和ES(期望不足)作為績效評價準則,二者均與分布的分位數(shù)有關,避免了傳統(tǒng)評價準則方差、夏普比率等依賴于正態(tài)分布的局限。論文以VaR、ES和年均超額收益率、期末資產價值一起為評價準則,以中國證券市場數(shù)據(jù)作為投資組合保險中的風險資產,研究現(xiàn)有的投資組合保險模型OBPI、CPPI、TIPP的績效。為避免歷史路徑只有一條的局限性,研究中采用Monte Carlo模擬方法。實證結果表明上述投資組合保險策略確實能規(guī)避下方風險,而且在市場上升時又不失去獲利的機會。同時,實證研究中收益率的產生方式分別是通過t分布模擬產生和Block Bootstrap抽樣方式產生,前一種方式中OBPI、CPPI、TIPP策略的績效劣于CM和BH策略,而在Block Bootstrap抽樣中則優(yōu)于CM和BH策略。 在考察OBPI模型局限性的基礎上建立基于譜風險預算的投資組合保險模型。投資組合保險最早的模型是基于期權的OBPI模型。OBPI通過無風險資產與風險資產的組合復制期權實現(xiàn)保險,前提是風險資產的收益率服從對數(shù)正態(tài)分布,即價格服從幾何布朗運動。但是實證表明,證券市場的信息不僅包括可以用布朗運動描述的正常變動,而且包括用跳躍描述的非正常變動,跳躍風險卻不能通過無風險資產與風險資產復制期權而規(guī)避,因而基于期權的OBPI模型具有一定的局限性,不能實現(xiàn)完全的套期保值。 積極管理風險的手段主要有兩種：一種是套期保值,另一種是風險預算。OBPI模型屬于前者。基于上述局限性本文考慮運用風險預算來管理風險。風險預算是投資組合管理的一種觀點,主要是對風險進行管理而不是對收益率管理。論文中采用譜風險來度量風險,因為譜風險不僅是一致性風險測度,而且能將風險與人們的風險厭惡程度相聯(lián)系,常用的VaR、ES都是它的特例。在譜風險測度的基礎上,根據(jù)風險套補的思想建立譜風險預算投資組合保險模型。該模型的績效與人們的風險厭惡程度相聯(lián)系,不同的投資者可以根據(jù)自己的風險厭惡程度調整風險資產與無風險資產之間的比例,最終實現(xiàn)規(guī)避風險、保值增值的目標。 投資組合保險的存在將對證券市場的收益率及其波動產生影響,論文通過一般均衡分析對其進行研究。首先在個體的壽命周期內,引入展望理論描述投資組合保險者的決策,他們以要保金額作為贏得或損失的參照點,然后對存在投資組合保險者與非投資組合保險者的市場進行分析,研究結果表明投資組合保險者的存在,將有效地降低市場波動率,從而降低風險溢價。
[Abstract]:Portfolio insurance is a kind of investment portfolio insurance with nature. Not only can get the benefits of rising market, but also can avoid the market drop, so by the risk averse welcome. The insurance mechanism of portfolio insurance model, select the appropriate evaluation criteria, for deep understanding and application has important significance of investment portfolio insurance model.
Study on the performance evaluation of the portfolio insurance model. This paper introduces a measure of risk VaR (value at risk) and ES (expected shortfall) as the performance evaluation criteria, two are related to distribution, to avoid the traditional evaluation criterion of variance, SHARP ratio dependent Yu Zheng distribution limitations. Based on VaR ES, and the average annual excess return rate, the final value of the assets together as the evaluation criterion, the China stock market data as portfolio insurance in risk assets, CPPI of OBPI, the existing portfolio insurance model, the performance of TIPP. In order to avoid the limitations of the historical path of only one, the research uses Monte Carlo simulation method. The empirical results show that the investment portfolio insurance strategy can avoid downside risk, but also in a rising market and not lose the opportunity to profit. At the same time, the rate of return in the empirical study It is generated by t distribution simulation and Block Bootstrap sampling. In the former way, the performance of OBPI, CPPI and TIPP strategy is inferior to CM and BH strategy, while Block Bootstrap sampling is better than CM and Block strategy.
The establishment of portfolio insurance model spectrum based on Risk Budgeting Based on investigating the limitations of the OBPI model. The model of portfolio insurance is one of the earliest.OBPI OBPI model of option by risk-free assets and risk assets portfolio replication options based on the realization of insurance, the premise is the rate of return of risk assets obeys the lognormal distribution, namely price follows the geometric Brown motion. However, empirical evidence shows that the stock market information includes not only the normal change can be described by the Brown movement, but also by jumping a description of the non normal change, but not the jump risk risk assets and risk assets and avoid the copy option, so the OBPI model based on option has certain limitations, to achieve complete hedging can not.
There are two main types of positive means of risk management: one is hedging, the other is a risk budget.OBPI model belongs to the former. The limitation of this paper consider the use of risk management risk based on risk budget. The budget is a point of view of portfolio management, mainly to manage risk management rather than rate on earnings. The spectral risk measure of risk in this paper, because the risk spectrum is not only consistent risk measure, but also can make the risk and risk averse people linked to common VaR, ES are the special cases of it. Based on the spectral risk measure, based on the spectrum of risk budget portfolio insurance risk model set up people thought. Performance and the model of the risk aversion linked to different investors according to their risk adjusted assets between risk aversion and risk free asset ratio, and ultimately To avoid risk and to keep the value added.
Portfolio insurance has affect the rate of return on the stock market and its fluctuation, the general equilibrium analysis on the research. First of all in the life cycle of the individual in the introduction of portfolio insurance theory to describe the prospect of decision makers, they to win or loss of the insured amount as a reference point, then the existence of portfolio insurance and non insurance investment portfolio of the market analysis, the results show that portfolio insurance exists, will effectively reduce the market volatility, thus reducing the risk premium.

【學位授予單位】：西南交通大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51;F832.48;F842.682

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