分数布朗运动环境下的资产配置策略多期收益保证价值的测算
Pricing Multi-Period Return Guarantees Combined with Asset Allocation Strategy under Fractional Brownian Motion

作者: 邓艳莲 * , 陆允生 :东华大学数学系,上海;

关键词: 分数布朗运动拟条件期望CM策略CPPI策略Fractional Brownian Motion Quasi-Conditional Expectation CM Strategy CPPI Strategy

摘要:
本文考虑Hurst指数大于二分之一的分数布朗运动驱动的风险性资产价格过程,结合Wick-Itô积分和拟条件期望,讨论了分数布朗运动环境下结合CM策略和CPPI策略的多期收益保证价值,通过数值模拟,比较分析了多期保证期限、金融市场重要参数和资产配置策略参数对两策略下多期保证价值的影响。

Abstract: In this paper, we consider that the price processes of risky assets are driven by fractional Brownian motion (1/2< H< 1). With the Wick-Itô integral and the quasi-conditional expectation, we compute the value of multi-period return guarantees under CM strategy and under CPPI strategy. Through the numerical simulation, the influence on the value of multi-period return guarantees under the two strategies is compared and analyzed, which is made by the periods of multi-period return guarantees and the important parameters of the financial market and asset allocation strategy.

文章引用: 邓艳莲 , 陆允生 (2016) 分数布朗运动环境下的资产配置策略多期收益保证价值的测算。 金融, 6, 64-73. doi: 10.12677/FIN.2016.62007

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