中港股票保本基金的实证研究与比较分析

1120032004A100%A100%A20041011100%A1101max0,1,1912inTiSnnSθλ=⎡⎤⎛⎞++−=⎢⎥⎜⎟⎢⎥⎝⎠⎣⎦∑1111λ+λ11602θθθ3.31%4.74%34.37%iTSiA500S5A50100%A1100%A11%6%θA5011976361005,0592-2180762,[e-mail]21100%A1.A5012.A5015211011%—4.751912100%AVBcfVBcfθ=++2Bc101.()11iinTiiTIBR==+∑iTIiiTR100%AiTR1A50AA50=⎡⎤⎛⎞−⎢⎥⎜⎟⎢⎥⎝⎠⎣⎦∑101max0,1inTiSnS=⎡⎤⎛⎞−⎢⎥⎜⎟⎢⎥⎝⎠⎣⎦∑()()()()()()()()()()()(){}()1212111001001101202102201020max1,0ˆmax,0iTnniTnnTnTTnTnnTnTrTtniTTirTtrTtrTtrTtnnrTtrTSSecEESSnSneSeNdSNdSeNdSNdSeNdSNdSneen−−==−−−−−−−⎧⎫⎡⎤⎛⎞−⎪⎪⎢⎥⎜⎟⎢⎥⎧⎫⎪⎪⎝⎠⎣⎦⎡⎤==−⎨⎬⎨⎬⎣⎦⎩⎭⎪⎪⎪⎪⎩⎭⎡⎤⎡⎤⎡⎤=−+−++−⎣⎦⎣⎦⎣⎦=∑∑L()()()()()()()()(){}()()22111221221221212,(3)TnTnirTttrTtnnTiiiiiiNdNdeNdNdeNdNdrTtdddTtTtσσσ−−−⎡⎤⎡⎤⎡⎤−+−++−⎣⎦⎣⎦⎣⎦−−==−−−LTE()0,nPTExpectationinaWorldthatisForwardRiskNeutralwithrespectto()0,nPT()0,nPTnT1iTr0σA503iTniTrσiTr1100%A200482320048234σ1A500SMerton1973()()001cXSScX===X0S0S130S2GARCH(1,1)A50200372120048232EviewsGARCH(1,1)σ24.1%3iTr2004823433.224.75-11%9.380.1643.31%0.549.9773100.23%3-6%9.6540.134.74%0.259.9696100.30%3-0%9.08400.1334.37%0.259.7848102.20%20%120037212004823A50A12A502004119538%1995-200139%2/100%AOTCDelta100%AA/ADelta2003-2004101max0,1TSS⎡⎤⎛⎞+−⎢⎥⎜⎟⎝⎠⎣⎦4410%100%0TSS100%4CPPI1.2.3.6()()1tttttttIMPMVFMIBF+==−=+−5tVttIt1tI+tPttBttFtM4.λθCPPI20052004271.Bennett,J.A.,Chen,A.H.,andMcGinness,P.,1996,AnAnalysisofCapitalGuaranteedFunds,InternationalReviewofEconomicsandFinance,pp2592.Chance,D.M.,&Broughton,J.B.,1988,“MarketIndexDepositoryLiabilities:Analysis,InterpretationandPerformance”.JournalofFinancialServicesResearch,1,pp335.3.Chen,A.H.,&Kensinger,J.W.,1990,“AnAnalysisofMarket-indexCertificatesofDeposit”.JournalofFinancialServicesResearch,4,pp93.4.Chen,K.C.,andSears,R.S.,1990,PricingtheSPIN,FinancialManagement,Summer,pp.36.5.FinnertyJohnD.,1993,“InterpretingSIGNs”,financialmanagement,summer,pp36.6.King,S.R.,&Remolona,E.M.,1987,“ThePricingandHedgingofMarketIndexDeposits”.FederalReserveBankofNewYorkQuarterlyReview,12,pp9.7.Merton,Robert,1973,“TheTheoryofRationalOptionPricing”,BellJournalofEconomicsandManagementScience4(Spring),pp141.8.Odgen,Joseph,1996,“AStrategicAnalysisofStockIndex-LinkedCDs”,in:Derivatives,regulationandbanking,BarrySchachter,Ed.,Amesterdam:North-Holland,pp193.AnEmpiricalStudyandContrastofGuaranteedFundsintheMainlandandHongKongMarketsChenRongTheDepartmentofFinance,XiamenUniversityGuoXiaowuTheDepartmentofPublicFinance,XiamenUniversityAbstract:GuaranteedFundsarenewproductsinChinesemarket.ThisarticleempiricallystudiestwoGuaranteedFundsintheMainlandmarketandHongKongMarket.Weexplorethedesign,pricingandriskmanagementofthesetwofundsandanalyzethemarketobstaclesforustodevelopembedded-optionguaranteedfunds.Finally,weproposesomepracticalopinionsandsuggestionsforthedevelopmentandregulationsforthederivativesinChina.Keywords:GuaranteedFunds,Design,Pricing,RiskManagement.