幾何平均價格投資組合保險策略研究及實(shí)證分析
發(fā)布時間：2019-03-06 09:07
【摘要】：金融危機(jī)之后，全球金融市場一片低迷，不確定因素不斷增加，我國股票市場也隨之加劇波動。在這一背景下，投資者不再盲目追逐伴有高風(fēng)險的高收益資產(chǎn)，而是注重資產(chǎn)的保值增值能力。投資組合保險策略由于具有鎖定風(fēng)險資產(chǎn)組合下跌的風(fēng)險，同時又不失向上捕獲收益的特點(diǎn)，因此，受到國內(nèi)外投資者和投資機(jī)構(gòu)的廣泛重視和關(guān)注。 投資組合保險理論興起于20世紀(jì)80年代的美國，經(jīng)過30多年的發(fā)展，已經(jīng)取得了巨大進(jìn)步。但到目前為止，絕大部分投資組合保險策略的選擇還都是基于標(biāo)準(zhǔn)期權(quán)，尤其是歐式期權(quán)（European options）。以目前投資者常采用的CPPI策略來說，由于其組合的最終價值只依賴于到期日標(biāo)的風(fēng)險資產(chǎn)的市場價格和執(zhí)行價格，所以市場的波動將導(dǎo)致投資組合最終價值具有高度的不確定性。為了能夠大大降低市場波動對組合最終價值的影響，本文將亞式期權(quán)理論中幾何平均價格的思想引入到投資組合保險中，設(shè)計了一種基于幾何平均價格的投資組合保險（GAPPI）策略。由于亞式期權(quán)具有強(qiáng)路徑依賴的性質(zhì)，因此引入亞式期權(quán)，一方面可以避免投機(jī)者在接近到期日時通過操縱標(biāo)的資產(chǎn)價格來牟取暴力的可能，另一方面隨著到期日的臨近，對過去價格依賴性的增強(qiáng)將大大降低投資組合的波動性。 本文首先對投資組合保險理論及各種策略做了歸納概括，隨后引入幾何平均價格構(gòu)造了一種基于幾何平均價格的投資組合保險(GAPPI)策略,并結(jié)合我國上證綜指的歷史數(shù)據(jù)，實(shí)證分析不同風(fēng)險乘數(shù)及不同要保比例下，，該策略在多頭、空頭和震蕩行情下的表現(xiàn)，并與傳統(tǒng)的CPPI策略和TIPP策略進(jìn)行對比。通過對比分析發(fā)現(xiàn)：不論是在多頭、空頭，還是震蕩行情下，GAPPI策略、CPPI策略和TIPP策略均能夠保證期末投資組合價值高于期初的要保額度，均具有較好的保險效果；在多頭時期，CPPI策略向上捕獲收益的能力明顯占優(yōu)，TIPP策略次之，GAPPI策略相對較弱，但在收益率的波動性和交易成本方面，CPPI策略和TIPP策略不如GAPPI策略理想，并且在這一時期，乘數(shù)增大能夠大幅增強(qiáng)三種策略向上獲益的能力，而要保比例的增大則限制了這種能力；在空頭時期，GAPPI策略保本能力最強(qiáng)、收益率波動最小、交易成本最低，整體表現(xiàn)最優(yōu)，CPPI策略和TIPP策略表現(xiàn)相當(dāng)，并且在這一時期乘數(shù)的增大會導(dǎo)致投資組合價值的損失，收益波動性和交易成本不斷加大，而要保比例的增大則剛好相反；震蕩時期，GAPPI策略不僅達(dá)到資產(chǎn)保值的目的，而且還實(shí)現(xiàn)了資產(chǎn)的增值，并且收益率的波動性和交易成本也都遠(yuǎn)低于CPPI策略和TIPP策略，TIPP策略由于受到要保額度不斷增大的調(diào)整，降低了股價下跌帶來的風(fēng)險，因此其表現(xiàn)也要優(yōu)于CPPI策略，并且在這一時期，乘數(shù)的增大導(dǎo)致GAPPI策略和TIPP策略的期末收益增加，CPPI策略的期末收益下降，而期初要保比例的增大則剛好導(dǎo)致相反的結(jié)果。
[Abstract]:After the financial crisis, the global financial market is depressed, the uncertain factors are increasing, and the stock market of our country also aggravates the fluctuation. In this context, investors no longer blindly pursue high-yield assets with high risk, but pay attention to the ability to maintain and increase the value of assets. Portfolio insurance strategy has the characteristics of locking the risk of portfolio decline and capturing returns upward, so it has been paid more and more attention by investors and investment institutions at home and abroad. Portfolio insurance theory arose in the United States in 1980's. After more than 30 years of development, it has made great progress. But up to now, most of the portfolio insurance strategies have been based on standard options, especially European option (European options). As far as the current CPPI strategy is concerned, because the final value of its portfolio depends only on the market price and execution price of the risky assets under maturity date, So the volatility of the market will lead to a high degree of uncertainty about the final value of the portfolio. In order to reduce the influence of market volatility on the final value of portfolio, this paper introduces the idea of geometric average price in Asian option theory into portfolio insurance. This paper designs a portfolio insurance (GAPPI) strategy based on geometric average price. Because of the strong path dependence of Asian options, the introduction of Asian options, on the one hand, can avoid the possibility of speculators manipulating the underlying asset prices to obtain violence when approaching the maturity date, on the other hand, with the approaching of the maturity date, the Asian option can avoid the possibility of violence by manipulating the underlying asset prices. An increase in price dependence in the past will significantly reduce the volatility of the portfolio. This paper first summarizes the portfolio insurance theory and various strategies, and then introduces the geometric average price to construct a kind of portfolio insurance (GAPPI) strategy based on the geometric average price, and combines the historical data of the Shanghai Composite Index in China. An empirical analysis is made on the performance of the strategy under the conditions of long, short and volatile market under different risk multipliers and different coverage ratios, and compared with the traditional CPPI strategy and TIPP strategy. Through the comparative analysis, it is found that GAPPI strategy, CPPI strategy and TIPP strategy can ensure that the value of the final portfolio is higher than the amount of insurance required at the beginning of the period under the condition of long, short or volatile market, and all of them have better insurance effect. In the long-term period, the ability of CPPI strategy to capture returns up is obviously superior, followed by TIPP strategy, and GAPPI strategy is relatively weak. But in terms of return volatility and transaction cost, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy, and in this period, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy. The increase of the multiplier can greatly enhance the ability of the three strategies to benefit upward, and the increase of the proportion of the three strategies limits the ability. In the short period, GAPPI strategy has the strongest capital preservation ability, the smallest volatility of return, the lowest transaction cost, and the best overall performance. The performance of CPPI strategy is equal to that of TIPP strategy, and the increase of multiplier in this period will lead to the loss of portfolio value. Income volatility and transaction costs continue to increase, while the increase in the proportion to be guaranteed is just the opposite; During the period of concussion, GAPPI strategy not only achieved the goal of preserving assets, but also realized the value-added of assets, and the volatility and transaction cost of return rate were much lower than those of CPPI strategy and TIPP strategy. The TIPP strategy also outperforms the CPPI strategy because it is adjusted by the ever-increasing coverage to reduce the risk of falling stock prices, and during this period, the increase in multipliers led to an increase in the end-of-term earnings of the GAPPI strategy and the TIPP strategy. The end-of-term earnings of the CPPI strategy decline, while the increase in the initial coverage ratio leads to the opposite result.
【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.59
本文編號：2435390
[Abstract]:After the financial crisis, the global financial market is depressed, the uncertain factors are increasing, and the stock market of our country also aggravates the fluctuation. In this context, investors no longer blindly pursue high-yield assets with high risk, but pay attention to the ability to maintain and increase the value of assets. Portfolio insurance strategy has the characteristics of locking the risk of portfolio decline and capturing returns upward, so it has been paid more and more attention by investors and investment institutions at home and abroad. Portfolio insurance theory arose in the United States in 1980's. After more than 30 years of development, it has made great progress. But up to now, most of the portfolio insurance strategies have been based on standard options, especially European option (European options). As far as the current CPPI strategy is concerned, because the final value of its portfolio depends only on the market price and execution price of the risky assets under maturity date, So the volatility of the market will lead to a high degree of uncertainty about the final value of the portfolio. In order to reduce the influence of market volatility on the final value of portfolio, this paper introduces the idea of geometric average price in Asian option theory into portfolio insurance. This paper designs a portfolio insurance (GAPPI) strategy based on geometric average price. Because of the strong path dependence of Asian options, the introduction of Asian options, on the one hand, can avoid the possibility of speculators manipulating the underlying asset prices to obtain violence when approaching the maturity date, on the other hand, with the approaching of the maturity date, the Asian option can avoid the possibility of violence by manipulating the underlying asset prices. An increase in price dependence in the past will significantly reduce the volatility of the portfolio. This paper first summarizes the portfolio insurance theory and various strategies, and then introduces the geometric average price to construct a kind of portfolio insurance (GAPPI) strategy based on the geometric average price, and combines the historical data of the Shanghai Composite Index in China. An empirical analysis is made on the performance of the strategy under the conditions of long, short and volatile market under different risk multipliers and different coverage ratios, and compared with the traditional CPPI strategy and TIPP strategy. Through the comparative analysis, it is found that GAPPI strategy, CPPI strategy and TIPP strategy can ensure that the value of the final portfolio is higher than the amount of insurance required at the beginning of the period under the condition of long, short or volatile market, and all of them have better insurance effect. In the long-term period, the ability of CPPI strategy to capture returns up is obviously superior, followed by TIPP strategy, and GAPPI strategy is relatively weak. But in terms of return volatility and transaction cost, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy, and in this period, CPPI strategy and TIPP strategy are not as ideal as GAPPI strategy. The increase of the multiplier can greatly enhance the ability of the three strategies to benefit upward, and the increase of the proportion of the three strategies limits the ability. In the short period, GAPPI strategy has the strongest capital preservation ability, the smallest volatility of return, the lowest transaction cost, and the best overall performance. The performance of CPPI strategy is equal to that of TIPP strategy, and the increase of multiplier in this period will lead to the loss of portfolio value. Income volatility and transaction costs continue to increase, while the increase in the proportion to be guaranteed is just the opposite; During the period of concussion, GAPPI strategy not only achieved the goal of preserving assets, but also realized the value-added of assets, and the volatility and transaction cost of return rate were much lower than those of CPPI strategy and TIPP strategy. The TIPP strategy also outperforms the CPPI strategy because it is adjusted by the ever-increasing coverage to reduce the risk of falling stock prices, and during this period, the increase in multipliers led to an increase in the end-of-term earnings of the GAPPI strategy and the TIPP strategy. The end-of-term earnings of the CPPI strategy decline, while the increase in the initial coverage ratio leads to the opposite result.
【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.59
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