【摘要】 随着我国基金业的迅速发展,与基金相关的金融产品创新是今后我国金融市场发展的一个方向。我们对基金期权这一金融市场创新和发展的新工具进行了深入的理论分析。通过分析真实世界行为投资者的风险收益偏好,我们推导出投资者的配置需求,并针对性的讨论了恰当的衍生证券解决方案。我们的分析显示,基金的价值增长过程能够在市场完备化方面发挥基础性作用,真实世界的行为投资者的资产配置可以写成基金的价值增长过程简单期权的形式。本文的分析对我国金融衍生产品市场发展和金融机构的理财产品设计具有重要的参考意义。更多还原

【Abstract】 This paper suggests that options on fund may be as an effective financial instrument to satisfy the investment demand of real world investors.The authors derive the asset allocation demand from the risk-return preference of behavior investors and design the proper derivatives to match these demands.It is shown that the value process of fund plays an important role in completing the capital market and the allocation structure of behavior investors can be described as standard option of the fund value process.The analytical framework has significant implication for the development of Chinese capital market.更多还原