| 投资组合保险策略最小风险控制 |
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| 引用本文： | 姚远,史本山.投资组合保险策略最小风险控制[J].系统工程,2006,24(11):106-108. |
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| 作者姓名： | 姚远 史本山 |
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| 作者单位： | 1. 河南大学,管理科学与工程研究所,河南,开封,475000;西南交通大学,经济管理学院,四川,成都,610031
2. 西南交通大学,经济管理学院,四川,成都,610031 |
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| 摘 要： | 组合保险策略利用期权、期货或模拟期权等衍生金融工具对冲和转嫁风险，金融衍生工具以风险资产作为标的物，其价格受风险资产价格的影响，因此组合保险策略本身也将存在一定的风险。本文利用均值一方差法衡量组合保险策略风险，讨论在投资组合保险满足一定收益时风险最小条件下，保障投资组合保险策略实施的最低收益有效条件以覆最低风险控制条件．为我国开发坌融衍生工具奠定了理论基础。
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| 关 键 词： | 投资组合保险 风险 收益 期权 |
| 文章编号： | 1001-4098（2006）11-0106-03 |
| 收稿时间： | 2006-08-15 |
| 修稿时间： | 2006-08-15 |
Minimum of Risk Controlling About Portfolio Insurance Strategy |
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| YAO Yuan,SHI Ben-shan.Minimum of Risk Controlling About Portfolio Insurance Strategy[J].Systems Engineering,2006,24(11):106-108. |
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| Authors: | YAO Yuan SHI Ben-shan |
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| Institution: | 1. Institution for Management Science and Engineering, Henan University, Kaifeng 475000,China; 2. School of Economics and Management, Southwest Jiaotong University, Chengdu 610031,China |
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| Abstract: | With options, futures and other financial derivatives, the portfolio insurance strategy can hedge against and transfer risks. Risk capital is the underlying asset of financial derivatives whose prices are influenced by market price, there is risk in portfolio insurance strategies. This paper evaluated the risk of portfolio insurance through the rain-variance model, and worked out the effective conditions for minimum revenue as well as the minimum risk control conditions after the implementation of the strategies to ensure the portfolio insurance, to provide the academic barn for exploring financial derivatives in China market. |
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| Keywords: | Portfolio Insurance Risk Revenue Option |
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