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组合保险策略的最大特点是能够对下侧风险进行保护同时又能获得向上的潜在收益,因此,对该策略绩效的评价不能仅仅只是根据收益的某些统计特征,还应当考虑收益的分布情况。本文利用10年来上证综指获得的收益率数据,采用块自助模拟法对CPPI、TIPP和B&H投资组合策略绩效进行分析和评价,并引入随机占优理论比较判断各投资策略的占优关系。实证检验结果表明,总得来看三种策略之间并不存在占优策略,但在不同的市场表现下存在有相应的占优策略。
The most important feature of a portfolio insurance strategy is that it can protect the downside risk and obtain upward potential benefits. Therefore, the strategy performance evaluation can not be based on some statistical characteristics of returns, but also the distribution of returns. This paper analyzes and evaluates the performance of CPPI, TIPP and B & H’s portfolio strategy using block self-help simulation method based on the yield data obtained from Shanghai Stock Exchange in last 10 years. By introducing stochastic dominance theory, it compares the superiority of each investment strategy. Empirical test results show that there is no dominant strategy between the three strategies in general, but there are corresponding dominant strategies in different market performance.