CAJ | 학술논문

保本基金作为一种国际上流行的基金品种,在我国已取得了一定的发展,但由于国内金融市场的特殊性,保本基金保本策略的创新和应用仍然处于较初级的阶段。随着股指期货的推出,各种创新型保本策略在国内有了较大的发展空间。本文结合当前我国金融市场环境,将股指期货引入保本基金策略,并运用实证分析、Monte Carlo模拟的方法对各种策略的优势、局限性以及适用情况进行全面的评估与比较,为其实际应用提供有价值的理论参考。
보본기금작위일충국제상류행적기금품충,재아국이취득료일정적발전,단유우국내금융시장적특수성,보본기금보본책략적창신화응용잉연처우교초급적계단。수착고지기화적추출,각충창신형보본책략재국내유료교대적발전공간。본문결합당전아국금융시장배경,장고지기화인입보본기금책략,병운용실증분석、Monte Carlo모의적방법대각충책략적우세、국한성이급괄용정황진행전면적평고여비교,위기실제응용제공유개치적이론삼고。
Principle Guaranteed Fund（PGF）,as a sort of mutual fund popular in the world,has been developing for years in China,but the innovations and practice of the portfolio insurance strategy（PIS） are still in primary stage due to the characteristics of Chinese financial market.However,as the stock index futures come to the market,PIS has a greater development opportunity than before.Based on the environment of Chinese financial market,we construct new PISs using stock index futures,and discuss the feasibility,advantages and limitations of them by empirical analysis and Monte Carlo simulation.Conclusions of this paper can be helpful for the future practice of the PIS.