选择股票与有信用风险的企业债券作为固定比例投资组合保险(CPPI)的投资对象,分别在连续及跳跃市场背景下,给出了连续时间与跳跃过程两种情况下含违约资产的CPPI的显式表达式.通过鞅方法证明了含违约资产的CPPI与未定权益的对冲关系,并通过投资实例进行了模拟分析. Select the stock and corporate bonds with credit risk as the investment object of the fixed proportion of portfolio insurance (CPPI), respectively, in the context of continuous and jumping market, given the continuous time and the jumping process in both cases with default assets CPPI was significantly Expressions. The martingale method is used to prove the hedging relationship between CPPI and default interest with default assets, and the simulation analysis is made through investment examples.