基于VaR的权变投资组合保险策略及实证分析_邹小芃.pdfVIP

2006 3 M ar1, 2006 25 2 Appl icat ion of S tat ist ics and M anagement V ol. 25 No12 : 1002 ) 1566( 2006) 02- 0195 ) 10 VaR 1 2 1 邹小 钱 英 余 君 ( 11 , , 310027; 21 , , 310027) : 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 到保险作用, 但 在牛市期间又会夹失部分收益应用综合了V aR 技术和滤嘴法则的V aR 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 : V aR ; 滤嘴法则; 投资组合保险; 尾指数 : F830169 : A The Empirical Study of VaR-Based Contingent PortfolioInsuranceStrategy 1 2 1 ZOU Xiao-peng , Q AN Ying , YU Jun ( 11 College of Economics, ZheJiang U niversit y, 3 10027; 21 Department of M athematics, ZheJiang U niversity, 310027) Abstract:T raditional por tfolio insurance strategies implement the insurance strateg y all through the investment peri- od. t does can obtain t he insurance effect in the bear ish market, but lose some return in the bullish market . T he VaR- Based contingent portfolio insurance strategy, applying V aR technique and filter rule, however can offset the above drawback. And this portfolio insur ance str ateg y can provide an efficient inv estment instrument fo r the insur- ance capital in China. ey words:V aR; filter rule; portfolio insurance; tail index 0 , , , , F ama Blume( 1966) Sw eeney ( 1988) , VaR , VaR , , VaR ( VaR- Based Cont ingent Portfolio nsurance Strategy, V BCP S) : 2005 0 1 12 196 25 2 2006 3 1