【作者】 韩诚；

【导师】 吴信如；

【作者基本信息】 华东师范大学 ， 金融学， 2011， 硕士

【摘要】 所谓保本基金,是指在一定的投资期限内,对于投资者所投资的本金提供一定比例保证的基金。保本基金在运作过程中通常采用投资组合保险策略来达到保本的目的。投资组合保险策略产生于80年代的美国,主要包括两种类型：基于期权的组合保险策略(OBPI)和动态调整策略,其中固定比例投资组合保险策略(CPPI)由于具有灵活、实用等特点而受到高度关注,并在实践中被广泛应用。本文首先介绍了保本基金在国内外的发展情况；接下来从保本基金投资策略的理论基础——组合保险策略出发,对各种组合保险策略的原理进行详细的阐述,并对各种组合保险策略的特点进行了归纳与比较；然后应用历史数据,对保本基金应用最广的CPPI策略进行实证模拟,在此基础上,结合国内市场的实际情况,对其进行优化创新；最后,对本文的研究结论进行了阐述,并对保本基金在我国的未来发展做了展望。本文的创新之处有三：第一,组合保险策略的比较研究屡见不鲜,但CPPI策略的应用研究却比较少,而且已有的CPPI策略的研究文献的视角主要集中在CPPI策略的实证效果。而本文把CPPI策略的参数选择作为研究的出发点,力求做到全面和细化；第二,已有的对CPPI策略的实证研究大都选取一个完整保本周期内的历史数据作为研究样本,忽略了极端的市场状态。而本文对CPPI策略进行了压力测试,力求更加全面的模拟CPPI策略的效果；第三,已有的对CPPI策略的实证研究基本局限于传统CPPI策略的框架内,本文对传统CPPI策略进行了全面的优化创新,从三个维度给出了具有极强可操作性的优化创新方案,并对优化后的CPPI策略进行了实证模拟。更多还原

【Abstract】 Principal Guaranteed Fund is a kind of fund that provides proportional guarantee in terms of the principal investor has entrusted in a scheduled investment period. Principal Guaranteed Fund achieves investment objectives based on the Portfolio Insurance Strategy. Portfolio Insurance Strategy was introduced in US in 1980s, it can be classified into two categories:Option Based Portfolio Insurance(OBPI, for short)and Dynamic Adjustment Strategy. Among all the strategies, CPPI(Constant Proportion Portfolio Insurance)strategy attracted more attention and well applied in many fields due to its advantages as flexibility and practicality.This paper introduces the development condition of Principal Guaranteed Fund in China and in overseas, describes the theoretical basis of Principal Guaranteed Fund——Portfolio Insurance Strategy. Then the paper does empirical research on Constant Proportion Portfolio Insurance strategy with historical data and optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account. Finally, the paper concludes the research, and looks ahead of the development of Principal Guaranteed Fund in China.There are three innovations of this paper:First, there are much comparative study on CPPI strategy and little applied research on CPPI strategy.This paper concentrates on parameter selection and takes it as starting point of research; Second, previous research neglects the extreme condition of market. This paper carries stress test on CPPI strategy; Third, previous research is limited with the traditional CPPI strategy.This paper optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account, and simulates the optimized CPPI strategy.更多还原