【作者】 姚远；

【导师】 史本山；

【作者基本信息】 西南交通大学 ， 管理科学与工程， 2006， 博士

【摘要】 本论文研究的内容属于金融工程理论范畴，投资组合保险(PortfolioInsurance)是无套利均衡在金融工程中处理风险问题的应用，是投资者规避风险的重要策略，由M．Rubinstein和H．Leland(1981)提出，是保险概念在证券投资中最直接的应用。其目的是为投资组合的价值设定底线，但又不失去从市场的有利变动中获利的机会。投资组合保险利用期权、期货或模拟期权等衍生金融工具对冲和转嫁风险，充分体现了组合复制、风险动态对冲和无套利均衡等金融工程的基本原理和技术方法。 1987年10月27日(黑色星期一)股灾发生之前，投资组合保险的研究主要集中在规避股市风险以及在套期保值方面的应用，主要包括对Merton(1971)模型中最终财富水平加以限制后的修正，组合保险交易费用的研究、市场的完全动态与保险的实现问题、波动率估计对组合保险的影响等等；到了1987年10月股市崩溃后，投资机构纷纷检讨投资组合保险策略的适用性，投资组合保险产生的负面影响也引起更多的注意，对组合保险的研究也初显成效。 尽管如此，投资组合保险理论中还有许多工作有待进一步研究和完善。例如，投资组合保险模型最优化问题；投资者风险偏好对最优投资组合保险策略的影响；风险资产价格波动性与投资组合保险成本、收益关系；不同风险资产运动过程对保险有效性的影响；投资组合保险风险研究；在我国，由于金融衍生工具有限，投资者只能采用动态投资组合保险策略规避风险，因此对在实证分析中，对于投资组合保险收益率波动情况与风险资产、无风险资产头寸的关系如何，投资组合保险收益与投保比例呈何种关系，无风险利率对投资组合保险收益的影响如何、风险资产价格波动与保险成本的关系如何、组合保险前后风险资产价格波动性成什么变化，还有待于进一步的研究。 本文就以上问题所做的研究成果如下： 1、投资组合保险模型的建立。 借助金融工程中无套利均衡、等价鞅测度等有效分析工具，基于完备市场模型，利用动态复制期权技术与微观金融学中投资消费模型(Merton模型)更多还原

【Abstract】 The content of this research paper falls into the category of the financial engineering theory. The Portfolio Insurance, which has been advocated jointly by M. Rubinstein and H. Leland in 1981, is the application of no-arbitrage for risk handling in financial engineering, an important strategy for hedging against risks on the part of investors, as well as the most immediate application of the insurance in security investment, aiming to set a bottom line for the portfolio value while retaining the opportunity to seek profit from the positive market fluctuation. With options, futures and other financial derivatives, the portfolio insurance can hedge against and transfer risks. It gives full displace to the basic theories and technical methods of such financial engineering as synthetic replication, risk dynamic hedge and non-profitable equilibrium, etc.Prior to the market crash of October 27, 1987, researches on the portfolio insurance mainly focused on how to hedge against the risks of stock market and on its application in the hedging. These researches included the modification of imposed limitation on the ultimate wealth to the Merton model, studies on the portfolio insurance transaction charges, complete dynamic of the market, realization of the insurance, and impact of the fluctuation rate estimation on the portfolio insurance, etc. After the collapse of stock markets in October 1987, investment institutions all set out to re-evaluate the applicability of the portfolio insurance strategies. At the same time, the negative influences of the portfolio insurance have drawn more and more attentions. Researches in this effort have also begun to bear fruits.But still there is much work to be further studied and perfected in the portfolio insurance theories, including the optimization of the portfolio insurance model, the influence of investors’ risk preference on the optimum strategy of the portfolio insurance, the relation between the risk capital volatility and the cost and revenue of the portfolio, researches on the influence of various risk capital flows on the effectiveness of insurance, and researches on the risk of the portfolio insurance. In China, due to the limited financial derivatives, investors have access only to the strategy of dynamic portfolio insurance to hedge against risks. As a更多还原