基于分位數(shù)條件的CPPI策略風險乘數(shù)選擇的研究
發(fā)布時間：2018-08-08 19:47
【摘要】：投資組合保險理論興起于20世紀80年代的美國,通過構(gòu)造股票和看跌期權的組合,保證投資組合最終價值不跌破期初設置的價值底線。投資組合保險策略主要涉及兩類資產(chǎn),投資于風險資產(chǎn)的部分主要是為了獲得風險資產(chǎn)上升的收益,無風險資產(chǎn)的部分則主要是保證投資組合在市場行情下跌時,期末總資產(chǎn)不至于跌破要保額度,主要是為了鎖定下行風險。由于投資組合保險策略能夠鎖定市場風險,是規(guī)避系統(tǒng)風險的一種重要投資策略,因而廣受保本基金、養(yǎng)老基金等投資機構(gòu)的歡迎和青睞。在各種不同的投資組合保險策略中,固定比例投資組合保險策略(CPPI策略)因操作簡單靈活,沒有復雜的計算公式,容易理解,成為了目前最常用的一種策略。其中策略中最關鍵的參數(shù)是風險乘數(shù)m,但該策略假定風險乘數(shù)是固定不變的,投資組合期末價值僅取決于到期日時標的風險資產(chǎn)的市場價格和執(zhí)行價格(保險額度),但是市場價格是不斷波動變化的,它會使投資組合的期末價值具有很大的不確定性。因此,策略中各參數(shù)的設置、模型的不斷優(yōu)化等逐漸成為了研究的重點�，F(xiàn)有的文獻對風險乘數(shù)的研究有很多,關于動態(tài)風險乘數(shù)的研究也不少,引入分位數(shù)來選擇風險乘數(shù)的卻較少。但是,目前關于金融學和經(jīng)濟學的研究中,引入隨機變量在任意概率水平下的分位點的越來越多。所以在這種情況下,我們是否可以考慮在一個給定的概率水平(通常為99%)下,保證投資組合價值總是在要保額度之上,這樣考慮引入分位數(shù)條件來選擇風險乘數(shù)。因此本文的研究重點在于引入分位數(shù)條件、假設風險資產(chǎn)的對數(shù)收益服從GARCH模型,討論基于分位數(shù)條件的CPPI策略中的風險乘數(shù)的選擇問題。首先,對投資組合保險策略的定義、分類等組合保險方面的理論基礎進行了梳理回顧。其次,分析傳統(tǒng)CPPI策略下風險乘數(shù)的選擇,接著分析引入分位數(shù)條件和GARCH模型后,基于分位數(shù)條件的CPPI策略中風險乘數(shù)的選擇。然后,概括基于分位數(shù)條件的CPPI策略風險乘數(shù)選擇的模型,對基于分位數(shù)條件的CPPI策略風險乘數(shù)的選擇進行績效評估,采用不同的分位數(shù)和不同的要保額度,分別分析在多頭、空頭和震蕩三種市場行情下風險乘數(shù)的選擇以及該策略的表現(xiàn),并與傳統(tǒng)的CPPI策略進行對比。研究結(jié)果顯示,引入分位數(shù)條件后,與風險乘數(shù)一般選擇不超過5相比,風險乘數(shù)的選擇水平得到了提高。投資者對保本概率要求越低,即分位數(shù)越小,風險乘數(shù)就會越高;并且不同市場行情下分位數(shù)影響不同,多頭市場風險乘數(shù)最大,震蕩市場次之,空頭市場風險乘數(shù)最低。并且,多頭時期基于分位數(shù)條件的CPPI策略效果最好,能充分抓住市場行情不斷上漲帶來的收益,同時在空頭和震蕩市場條件下也能達到保本的目的,實現(xiàn)CPPI策略最首要的目標。即從整體來看,引入分位數(shù)條件后,提高了風險乘數(shù)的選擇,既能達到保本的效果,也能提高整體組合的價值。
[Abstract]:The theory of portfolio insurance rose in the United States in 1980s. By constructing the combination of stock and put options, the value bottom line is guaranteed at the beginning of the final value of the portfolio. The portfolio insurance strategy mainly involves two types of assets, and the part of the investment in the risk asset is mainly to gain the income of the riskier assets. Part of the riskless assets is mainly to ensure that the total assets of the portfolios are not to be covered by the end of the term when the market prices fall, mainly in order to lock down the downside risk. Because the portfolio insurance strategy can lock the market risk, it is an important investment strategy to avoid the system risk, so it is widely protected by the fund and the pension fund. In a variety of different portfolio insurance policies, the fixed proportional Portfolio Insurance Strategy (CPPI strategy) is easy to understand because of its simple and flexible operation and no complex calculation formula. It has become one of the most commonly used strategies at present. The most critical parameter in the strategy is the Risk Multiplier m, but the strategy assumes that the policy is the most important. The risk multiplier is fixed and fixed, and the final value of the portfolio depends only on the market price and the executive price (insurance quota) of the risk asset of the maturity date, but the market price is constantly fluctuating, and it will make the final value of the portfolio very uncertain. Optimization and so on gradually become the focus of research. There are a lot of research on Risk Multiplier in the existing literature. There are many studies on the dynamic risk multiplier, but few of the risk multipliers are introduced by introducing quantiles. However, in the current research on finance and economics, the increasing of random variables at arbitrary probability level is becoming more and more important. The more we can consider, in this case, whether we can consider a given probability level (usually 99%) to ensure that the portfolio value is always above the degree of guarantee, so that the quantile condition is introduced to select the risk multiplier. Therefore, the emphasis of this paper is to introduce the quantile condition, assuming the logarithmic returns of the risk assets. According to the GARCH model, we discuss the choice of Risk Multiplier in the CPPI strategy based on Quantile condition. First, it reviews the theoretical basis of portfolio insurance policy definition, classification and other combination insurance. Secondly, it analyzes the choice of Risk Multiplier under the traditional CPPI strategy, and then analyzes the quantile condition and GARCH module. After type, the choice of Risk Multiplier in CPPI strategy based on Quantile condition. Then, the model of CPPI policy risk multiplier selection based on Quantile condition is summarized, and performance evaluation is made for the selection of CPPI Policy Risk Multiplier Based on Quantile condition. The selection of the Risk Multiplier and the performance of the strategy are compared with the traditional CPPI strategy. The results show that the selection level of the risk multiplier is improved after introducing the quantile condition and the Risk Multiplier generally chooses not more than 5, and the lower the demand for the investment holders, the smaller the number of quantiles, the smaller the quantile, the smaller the number, the smaller the number of quantiles. The risk multiplier will be higher, and the number of quantiles in different market prices is different, the multihead market risk multiplier is the largest, the market is concussion and the market risk multiplier is the lowest. And the CPPI strategy based on the quantile condition is the best. In the market condition, it can achieve the goal of saving the book and realize the most important goal of the CPPI strategy. In the whole, the selection of the risk multiplier is improved after the introduction of the quantile condition, which can not only achieve the effect of saving the book, but also improve the value of the overall combination.
【學位授予單位】：河南大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F832.51
本文編號：2172868
[Abstract]:The theory of portfolio insurance rose in the United States in 1980s. By constructing the combination of stock and put options, the value bottom line is guaranteed at the beginning of the final value of the portfolio. The portfolio insurance strategy mainly involves two types of assets, and the part of the investment in the risk asset is mainly to gain the income of the riskier assets. Part of the riskless assets is mainly to ensure that the total assets of the portfolios are not to be covered by the end of the term when the market prices fall, mainly in order to lock down the downside risk. Because the portfolio insurance strategy can lock the market risk, it is an important investment strategy to avoid the system risk, so it is widely protected by the fund and the pension fund. In a variety of different portfolio insurance policies, the fixed proportional Portfolio Insurance Strategy (CPPI strategy) is easy to understand because of its simple and flexible operation and no complex calculation formula. It has become one of the most commonly used strategies at present. The most critical parameter in the strategy is the Risk Multiplier m, but the strategy assumes that the policy is the most important. The risk multiplier is fixed and fixed, and the final value of the portfolio depends only on the market price and the executive price (insurance quota) of the risk asset of the maturity date, but the market price is constantly fluctuating, and it will make the final value of the portfolio very uncertain. Optimization and so on gradually become the focus of research. There are a lot of research on Risk Multiplier in the existing literature. There are many studies on the dynamic risk multiplier, but few of the risk multipliers are introduced by introducing quantiles. However, in the current research on finance and economics, the increasing of random variables at arbitrary probability level is becoming more and more important. The more we can consider, in this case, whether we can consider a given probability level (usually 99%) to ensure that the portfolio value is always above the degree of guarantee, so that the quantile condition is introduced to select the risk multiplier. Therefore, the emphasis of this paper is to introduce the quantile condition, assuming the logarithmic returns of the risk assets. According to the GARCH model, we discuss the choice of Risk Multiplier in the CPPI strategy based on Quantile condition. First, it reviews the theoretical basis of portfolio insurance policy definition, classification and other combination insurance. Secondly, it analyzes the choice of Risk Multiplier under the traditional CPPI strategy, and then analyzes the quantile condition and GARCH module. After type, the choice of Risk Multiplier in CPPI strategy based on Quantile condition. Then, the model of CPPI policy risk multiplier selection based on Quantile condition is summarized, and performance evaluation is made for the selection of CPPI Policy Risk Multiplier Based on Quantile condition. The selection of the Risk Multiplier and the performance of the strategy are compared with the traditional CPPI strategy. The results show that the selection level of the risk multiplier is improved after introducing the quantile condition and the Risk Multiplier generally chooses not more than 5, and the lower the demand for the investment holders, the smaller the number of quantiles, the smaller the quantile, the smaller the number, the smaller the number of quantiles. The risk multiplier will be higher, and the number of quantiles in different market prices is different, the multihead market risk multiplier is the largest, the market is concussion and the market risk multiplier is the lowest. And the CPPI strategy based on the quantile condition is the best. In the market condition, it can achieve the goal of saving the book and realize the most important goal of the CPPI strategy. In the whole, the selection of the risk multiplier is improved after the introduction of the quantile condition, which can not only achieve the effect of saving the book, but also improve the value of the overall combination.
【學位授予單位】：河南大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F224;F832.51
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