固定比例投资组合保险的有效定价地研究.pdf

AB STRACT Constant insuranceisa to proportionportfolio strategy theratioofrisk-free dynamicprocessadjusted assetandriskassetset for the return risklevelof by by requirementsonassets，the andthe affordability value oftheCPPIs．Thisis used inthesecurities strategyfrequently investment decisions，theguiding is：Whenthestockmarket valueofthe ideology rise，the rise，too．Th惦，the portfolio risk-bearingcapacity the investedin will increases，and stocks proportion stock net fell，the increase．Conversely,whenprices valueofthe therisk fell笛well，thus the portfolio decreases，and investedin bearingcapacity proportion stocksofcoursewill reduce． The CPPIsinChinaisdividedintotwo bondassetsand parts：the assets．Inthe equity dynamictime， theratioofstockassets andbondasSetSwillbe acertain of dynamicallyadjustedby percentage．The key