文档介绍：重庆大学硕士学位论文中文摘要摘要本文以投资组合保险策略的典型代表欧式保护性看跌期权策略和CPPI策略为内容对投资组合保险策略进行了研究。在允许不完全对冲以及对冲成本受限的情况下,通过模拟数据实验和真实数据模拟实验对比研究了预算紧约束和期权总是执行的假设对于欧式保护性看跌期权策略的影响。实验结果表明:预算紧约束和期权总是执行的假设会明显影响欧式保护性看跌期权策略的最优选择以及风险控制,并且在实际运用该策略时这个影响也不可忽略。在CPPI策略的基础上通过引入马尔科夫链构建了一种改进的CPPI策略—— DPPIM策略。通过真实数据模拟实验对DPPIM策略同CPPI策略、TPPI策略的优劣进行了比较分析。实验结果表明DPPIM策略收益分布的稳健性和CPPI策略、 TPPI策略相似,对于组合资产起到了一定的保护作用。同时,DPPIM策略避免了由于CPPI策略、TPPI策略的风险乘数设置过低而导致的损失。关键词:欧式保护性看跌期权策略,CPPI策略,TPPI策略,马尔科夫链, DPPIM策略 ABSTRACT Portfoliostrategies originated fromoption—basedportfolio insurance strategy and CPPI strategy are considered inthispaper. Under the cost constraints inhedge and permission ofimperfect hedge,the influence on option—based portfolio insurance strategy from theassumptions ofthe tight constraints ofbudget andEuropean put option always executing are contrastively studiedbv simulated experiments withanalog experimental resuIts shoW thattheassumptions ofthetight constraintsofbudget andEuropean put option always executing affect theoptimal choice and risk control ofoption—based portfolio insurance strategy,and the effectCan’t beignored intheactualoperation· on the basis ofCPPI strategy,an improved strategy of CPPI strategy called DPPIM strategy ismade byintroducing Markov chain into CPPI parative studies forDPPIM strategy versus CPPI strategy and TPPI strategy by simulated experiments with experimental results show that the robustness ofthe e distribution ofDPPIM strategy issimilar toCPPI strategy and TPPI strategy,and allofthem protect portfolio from lossinsome , DPPIM strategy gets rideofthe lossdue tolow riskmultiplier inCPPI strategyand TPPI strategy. Keywords:Option-based portfolio insurancestrategy,TPPI strategy, CPPI strategy,Markov chain,DPPIM strategy 重庆大学硕士学位论文 l绪论 1绪论 ,以美国经济学家马柯维茨(Markowitz)发表论文——《资产组合的选择》为标志。但是组合投资的方式却是人类很早以前就从实践中总结出来的。正如西方谚语所说“不要把鸡蛋放在一个篮子里”,这正体现了投资组合的核心思想——分散风险。风险的产生源于事物的不确定性。在金融市场上,特别是股票市场上这种不确定性尤为突出。如果某位投资者能