中国避险类产品的边际CPPI策略研究

We introduce various marginal conditions into the framework of constant proportion portfolio insurance strategy, and give the marginal CPPI strategy(M-CPPI) based on the value at risk. We divide the trading volume into two parts: Predictable and unpredictable, and introduce the predictable trading volume volatility rate into the price volatility model of risk assets. At the same time, we take the part that the actual volatility of risk assets exceeds the value at risk as the marginal increment to realize the dynamic adjustment of the bottom line of Strategic Safety. Furthermore, we divide the close price series of Shanghai and Shenzhen 300 index into 24 different time periods in turn, and empirical study the price performance path of portfolio assets under each strategy with a period of 3 years. The results show that the extended M-CPPI strategy is significantly better than the standard CPPI strategy. The improvement of this strategy enables us to reexamine the feasible design path of hedging financial products, in order to decrease the risk of gap which is widely criticized in the operation process of principal guaranteed and hedge funds, and at the same time to mitigate the cash-lock risk which may occur in the operation process of the strategy.