组合保险策略的实证检验被引量：4

Test on Portfolio Insurance Strategy

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摘要采取积极股票组合构造策略的策略收益率要高于采取消极股票组合构造策略的同一策略,股票组合构造策略的选取对于各类策略收益率有很大影响。

作者叶振飞刘元海陈峥嵘

机构地区上海国际集团金融发展研究院同济大学现代金融研究所海通证券

出处《证券市场导报》北大核心 2004年第2期26-31,共6页 Securities Market Herald

关键词组合保险策略投资策略期权无风险利率股票组合最低保险额度投资收益率滤波调整法

参考文献8

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1杜少剑,陈伟忠,DU,Shao-jian,CHEN,Wei-zhong.CPPI投资组合保险策略的实证分析[J].财贸研究,2005,16(1):36-40. 被引量：15
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5杨宝峰,刘海龙.上海证券市场动态投资组合保险策略应用研究[J].管理评论,2005,17(7):10-14. 被引量：8
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证券市场导报

2004年第2期

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