【作者】 杜少剑；

【导师】 陈伟忠；

【作者基本信息】 同济大学 ， 技术经济及管理， 2006， 博士

【摘要】 投资组合保险策略的主要目的就是，保证投资者在继续拥有资产增值潜力的同时，回避或者锁定资产价格下跌的风险。论文立足于中国证券市场，在实证分析投资组合保险策略的基础上，提出了动态调整组合保险策略的概念，并引入了部分可预测性理论。论文的主要内容和研究成果如下： 在组合保险策略实证检验中，论文采用沪市数据和蒙特卡罗模拟方法得出以下结论：第一，在多头时期，各组合保险策略均能把握行情上涨的机会，取得一定的利润回报；在空头时期，各组合保险策略均能发挥“保险”的功能，将损失锁定在一定范围。简单参数组合保险策略在空头、振荡行情下绩效表现要优于基于期权的组合保险策略，但在多头行情下，则相反。第二，在多头时期，随要保额度的增加，组合保险策略都表现出绩效逐渐减少的趋势；在空头时期，随要保额度的增加，组合保险策略都表现出绩效逐渐增加的趋势。在振荡行情下，各策略绩效表现各异。第三，没有哪种调整法能够表现出明显优于其它调整法则。简单参数组合保险策略中，由于落差调整法容易导致保险策略运作机制失灵，因此，将落差调整法予以剔除。第四，不同波动率估计方法在基于期权组合保险策略的绩效表现中没有明显区别和显着性影响。第五，简单组合保险策略中，随乘数M增加，在多头行情下，策略的绩效上升；在空头行情下，策略的绩效降低。第六，蒙特卡罗模拟的实证结果进一步验证了上述结论。 本文中“动态调整组合保险策略”的概念，是为一定程度上克服组合保险策略的缺陷而提出的。有别于其它形式的组合保险策略，本文的动态调整组合保险策略中，调整的范围不仅包括组合资产之间的动态调整，还包括参数的调整以及组合保险策略之间的动态调整。 在“部分可预测性”研究中，论文对包括金融指标预测法、技术指标预测法和动量、反转策略等在内的收益可预测性进行了实证检验。发现e／p与b／m等金融指标在我国目前均不具备可预测能力，另一方面发现RSI与KD技术指标在我国目前尚不具备明显的预测市场由空头向多头转变的能力。同时，中国股市总体并不存在中期价格动量，但随着组合形成期和持有期的延长，策略收益更多还原

【Abstract】 The main aim of investment portfolio insurance strategies is to protect the inestors from the risk of the downward of the assets value and to posses the potentialities of rise of the assets value. The dissertation empirically analyses the investment portfolio insurance strategies in China security markets, put forward a concept of dynamic adjusted investment portfolio insurance strategies and use the prediction theory of the stock to improve the effect of portfolio insurance strategies. The main contents and conclusions are as follows:In the empricial test of portfolio insurance strategies, the dissertation uses the data of shanghai stock market and Monte Carlo simulation method to draw conclusions as follows: Firstly, in the bull market, the portfolio insurance strategies all can seize the opportunity of upward and gain the profit; in the bear market, the portfolio insurance strategies all can make full use of the insurance and keep the loses into the certainly range. The performance of simplied parameter portfolio insurance strategies superior to the Option-based portfolio insurance strategies in the bear and vibrate market. Secondly, in the bull market, the performance of the portfolio insurance strategies all show the downward tendency with the insuranced assets value increasing; in the bear market, the performance of the portfolio insurance strategies all show the upward tendency with the insuranced assets value decreasing; but the performance of the portfolio insurance strategies is different in the vibrate market. Thirdly, none of the adjustment discipline show superior to other adjustment disciplines. As the lag discipline can lead to the strategies function out of order in the simplied parameter portfolio insurance strategies, we delete the lag discipline. Fourthly, different estimate of stock price volatility have no obvious difference and notable effect. Fifthly, the performance of the simplied parameter portfolio insurance strategies all show the upward tendency in the bull market and downward tendency in the bear market with the multiplier increasing. Sixthly, the empirical results of Monte Carlo simulation method further confirm the conclusions更多还原