【摘要】 本文首先简要介绍了CPPI投资组合保险策略,通过采用上证综合指数,对多头、空头和震荡三个时期,以及不同的最低保险额和乘数,对CPPI策略进行历史数据实证模拟,并与B&H策略做比较,发现CPPI策略在我国证券市场是能够起到有效保险作用的。更多还原

【Abstract】 Based on the brief introduction of the CPPI strategy, this paper testifies positively the CPPI strategy by historical data of composite index of shanghai stock exchange at different periods including long position, short position and concussive period, and at different minimum insured values and multipliers. By comparing with B&H strategy, we find that CPPI strategy is efficacious in China’s security market.更多还原