【摘要】 传统的投资组合保险策略在投资期内全程进行保险操作,在熊市期间确能起到保险作用,但在牛市期间又会夹失部分收益。应用综合了VaR技术和滤嘴法则的VaR套补的权变投资组合保险策略,则能弥补上述缺憾,为保险资金或保本型基金投资股市提供了有效的投资手段。更多还原

【Abstract】 Traditional portfolio insurance strategies implement the insurance strategy all through the investment period.It does can obtain the insurance effect in the bearish market,but lose some return in the bullish market.The VaR-Based contingent portfolio insurance strategy,applying VaR technique and filter rule,however can offset the above drawback.And this portfolio insurance strategy can provide an efficient investment instrument for the insurance capital in China.更多还原