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本文研究了CPPI投资组合保险策略在企业年金投资比例的约束条件下的效果。文中采用区块拔靴抽样法对风险资产和无风险资产随机抽取5000个样本,以买入持有策略作为参照基准,分析了CPPI投资组合保险策略的效果。
This paper studies the effect of CPPI portfolio insurance policy under the constraints of proportion of enterprise annuity investment. In this paper, a block pull-out sampling method is used to randomly select 5000 samples of risky assets and risk-free assets. The strategy of CPPI portfolio insurance is analyzed based on the buy-in strategy as the reference.