摘要
传统的投资组合保险策略在投资期内全程进行保险操作,在熊市期间确能起到保险作用,但在牛市期间又会丧失部分收益.应用滤嘴法则设计了基于V aR的权变型投资组合保险策略,实证结果表明,该策略很好地起到了投资与保险的功能,能有效地进行市场风险的实时监控,为保险资金或保本型基金投资股市提供了有效的手段.
Traditional portfolio insurance strategies implement the insurance strategy all through the investment period. It does can obtain the insurance effect in the bearish market, but lose some return in the bullish market. The VaR-Based contingent portfolio insurance strategy, applying VaR technique and filter rule, however can offset the above drawback. And this portfolio insurance strategy can provide an efficient investment instrument for the insurance capital in China.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第4期34-41,共8页
Mathematics in Practice and Theory
基金
浙江省自然科学基金(101016)
浙江省教育厅自然科学基金(20051524)
