本文選題：投資組合保險(xiǎn) + 風(fēng)險(xiǎn)乘數(shù)　； 參考：《統(tǒng)計(jì)與決策》2017年11期

【摘要】：在融資約束之下,通過定義三種資產(chǎn)狀態(tài),文章計(jì)算出投資組合價(jià)值在三者之間的轉(zhuǎn)移概率矩陣,并推演出各概率值與風(fēng)險(xiǎn)乘數(shù)、資產(chǎn)波動(dòng)率、期望收益率、無風(fēng)險(xiǎn)收益率和投資者風(fēng)險(xiǎn)偏好諸要素之間的增減關(guān)系。以滬深300指數(shù)作為風(fēng)險(xiǎn)資產(chǎn),在四類典型波動(dòng)的市場(chǎng),推算出融資約束下不同調(diào)整周期與風(fēng)險(xiǎn)乘數(shù)對(duì)應(yīng)的期末組合價(jià)值以及各狀態(tài)的期初期末轉(zhuǎn)移概率,并闡述了市場(chǎng)狀況與投資組合保險(xiǎn)策略的選擇關(guān)系以及風(fēng)險(xiǎn)頭寸與組合保險(xiǎn)失敗的聯(lián)系。
[Abstract]:Under financing constraints, by defining three kinds of asset states, the paper calculates the transfer probability matrix of portfolio value between them, and deduces each probability value and risk multiplier, asset volatility, expected rate of return.The relationship between risk-free return and investor risk preference.Taking the CSI 300 index as the risky assets, in the four kinds of typical volatility markets, the end portfolio value corresponding to different adjustment cycles and risk multipliers under financing constraints and the transition probability at the beginning of each state are calculated.The relationship between market situation and portfolio insurance strategy and the relationship between risk position and portfolio insurance failure are also discussed.
【作者單位】： 對(duì)外經(jīng)貿(mào)大學(xué)金融學(xué)院;北京聯(lián)合大學(xué);
【分類號(hào)】：F832.51

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