本文作者：姚远；翟佳；范铭奇；成功正常投稿发表论文到《管理评论》2015年04期,引用请注明来源400期刊网！
【摘要】：本文在传统的CPPI策略模型基础上,引入MACD指标,并进行相应的内生化,用于替换现有的风险乘m。同时采用类似"棘轮"的方法,构造新的最低要保额度函数,实现动态可变的要保额度,将捕获的收益按规则进行转出,最终形成DM-CPPI策略,实现了风险乘数和要保额度的双动态调整。同时,在模型中得以体现针对实际应用中的"缺口风险",通过合理的参数限制进行规避。最后,结合我国深证成指数据,分析不同行情和不同影响因素下DM-CPPI策略的执行绩效,并与传统的CPPI策略进行比较。结果显示,不管在何种行情下,DM-CPPI策略的绩效表现都优于CPPI策略。
【论文正文预览】：2.阿尔斯特大学商学院,英国BT370QB)引言以1952年Markowitz模型[1]为代表的投资组合理论认为,资本市场的风险分为系统性风险和非系统性风险[1]。非系统性风险一般都能够通过多元化的投资组合或者资产配置得以有效化解,系统性风险难以消除,但可以通过投资组合保险策略加以规避
【文章分类号】：F830.91;F224
【稿件关键词】：CPPI风险乘数动态调整要保额度
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【稿件标题】：matlab cppi策略 pdf|基于MACD预测指标动态调整的CPPI策略
【作者单位】：河南大学管理科学与工程研究所;阿尔斯特大学商学院;
【发表期刊期数】：《
管理评论》2015年04期
【期刊简介】：《管理评论》杂志是由中华人民共和国新闻出版总署、正式批准公开发行的优秀期刊，管理评论杂志具有正规的双刊号，其中国内统一刊号：CN11-5057/F，国际刊号：ISSN1003-1952。管理评论杂志社由中国科学院主管、中国科学院研究生院主办，本刊为月刊。自创刊以来......更多
管理评论杂志社(
http://www.400qikan.com/qk/9913/)投稿信息
【版权所有人】：姚远；翟佳；范铭奇；
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环境艺术论文论文详细信息:
matlab cppi策略 pdf|基于MACD预测指标动态调整的CPPI策略 论文代写
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