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The Positive Test of the Portfolio Insurance on CPPI Strategy
Author(s): 
Pages: 36-40
Year: Issue:  1
Journal: FINANCE AND TRADE RESEARCH

Keyword:  CPPI策略B&H策略实证分析;
Abstract: 本文首先简要介绍了CPPI投资组合保险策略,通过采用上证综合指数,对多头、空头和震荡三个时期,以及不同的最低保险额和乘数,对CPPI策略进行历史数据实证模拟,并与B&H策略做比较,发现CPPI策略在我国证券市场是能够起到有效保险作用的.
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