【摘要】 TIPP策略是收益保证类金融产品所采用的主要交易策略之一。文章分别采用几何布朗运动与有限跳跃Levy过程来刻画风险资产的价格过程,并对离散交易框架下的TIPP策略收益保证进行定价。由于TIPP策略下投资组合市值过程的复杂性,文章无法得到收益保证的解析定价公式。文章给出了离散交易框架下TIPP策略的一个特例下的封闭定价公式。数值分析的结果表明:离散交易条件下,(1)无论是否存在价格跳跃及借款限制,TIPP策略收益保证均存在缺口风险,收益保证的价格大于0;(2)与传统连续价格路径情形相比,价格跳跃条件下TIPP策略收益保证价格更高;(3)TIPP策略收益保证的价格与策略乘数、收益保证水平、杠杆比率以及调整周期正相关,与价值底线百分比负相关;(4)借款限制会降低TIPP策略收益保证的价格,且该效应随着策略乘数、收益保证水平、杠杆比率以及调整周期的增加而增强,随着价值底线百分比的上升而减弱。更多还原

【Abstract】 Constant proportion portfolio insurance(CPPI) strategy is a dynamic investment technique that aims to protect the underlying portfolio and retain some upside potential. The great applicability of CPPI strategy gains popularity among investors, especially institutional investors. Despite its simplicity, tractability and flexibility, CPPI strategy focuses on securing the principal and fails to protect the interest and profit generated during the course. Time-invariant portfolio protection(TIPP) strategy, as a variant of CPPI strategy, specifies that the floor should be ratcheted up as the market price rises and should retain the previous floor as the market price declines. If there are no jumps in asset price and trading without transaction costs, there is no risk of going below the pre-specified floor while employing CPPI strategy or TIPP strategy to manage the underlying portfolios. In another word, there is no gap risk. However, when asset price dose exhibit that discontinuous moves(jumps) or continuous trading is infeasible because of illiquidity or transaction costs, there is a gap risk with CPPI- and TIPP-managed portfolios. In the presence of gap risk, the issuers of the rate of return guaranteed products must turn to third parties for guarantee or reinsurance. How to figure out a proper reinsurance rate or a proper reinsurance fee is an important practical issue. Although several papers have investigated the valuation of CPPI-managed rate of return guaranteed products, there is no paper exploring the valuation of the TIPP-managed rate of return guaranteed products. This paper aims to fill this gap and investigates the pricing of TIPP-managed rate of return guaranteed products. Since our paper takes into consideration the effect of jumps in asset price, discrete rebalancing and borrowing constraints, our research findings have great practical importance. Specifically, this study employs geometric Brownian motion and finite-activity Levy process to characterize the price process of the active asset and investigates the valuation of the TIPP-managed rate of return guarantees under the framework of discrete rebalancing. Because of the complexity of the TIPP-managed portfolio, closed form pricing formulas cannot be obtained. For illustrative purposes, closed form pricing formulas are given for a special case of TIPP strategy. Our numerical results indicate that under the framework of discrete rebalancing,(1) there is a gap risk with the TIPP-managed portfolio and the price of the rate of return guarantee is positive, irrespective of the presence or absence of jumps in active asset price and borrowing constraints;(2) the price of the rate of return guarantee in the presence of jumps in active asset price is higher than its counterpart under the traditional assumption of continuous sample path of asset price;(3) the price of the rate of return guarantee is positively correlated with the multiple, the guarantee level, the leverage ratio and the rebalancing period, but negatively correlated with the floor percentage;(4) borrowing constraints can decrease the price of the rate of return guarantee and exercise more influence with bigger multiple, higher guarantee level, higher leverage ratio, longer rebalancing period but lower floor percentage. This study can provide a benchmark for the valuation of TIPP-managed rate of return guaranteed products. Moreover, the study has the following two practical implications:(1) valuation under the traditional assumption of geometric Brownian motion underestimates the costs of rate of return guarantees and thus hurts the interests of the third parties who insure the guarantees;(2) the issuers or managers of the rate of return guaranteed products can properly choose the multiple, the leverage ratio and the floor percentage to keep insurance fees under control, thereby enhancing the attractiveness of their products.更多还原