| 结合资产配置策略测算多期收益保证价值 |
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| 引用本文： | 王亦奇,刘海龙.结合资产配置策略测算多期收益保证价值[J].管理科学学报,2011,14(11):42-51,62. |
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| 作者姓名： | 王亦奇 刘海龙 |
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| 作者单位： | 上海交通大学安泰经济与管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目(70773076) |
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| 摘 要： | 投资机构能够采取某种资产配置策略,改变由收益保证所引致的期末偿付能力不足风险,并根据风险与价值对等的原则,进而改变收益保证的价值.但是,现有文献在测算收益保证价值时并没有考虑资产配置策略.针对现有文献的不足,在一种新的收益保证形式下,提出了结合资产配置策略测算收益保证价值的新方法,然后以固定组合(CM)、生命周期(DL...
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| 关 键 词： | 收益保证 资产配置 固定比例组合保险 |
Pricing multi-period return guarantees combined with asset allocation strategy |
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| WANG Yi-qi,LIU Hai-long.Pricing multi-period return guarantees combined with asset allocation strategy[J].Journal of Management Sciences in China,2011,14(11):42-51,62. |
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| Authors: | WANG Yi-qi LIU Hai-long |
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| Institution: | WANG Yi-qi,LIU Hai-long Antai College of Economics & Management,Shanghai Jiaotong University,Shanghai 200052,China |
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| Abstract: | Investment institution can take asset allocation strategy to change the risk of insolvency,which is caused by return guarantees,thereby,according to the principle of the consistency of risk and value,the value of return guarantees is changed.Available papers study the value of return guarantees without considering asset allocation strategy.This paper proposes a new approach combined with asset allocation strategy and return guarantee is set to a new form.We calculate the value of multi-period return guarant... |
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| Keywords: | return guarantee asset allocation constant proportion portfolio insurance |
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