中港股票保本基金的实证研究与比较分析X

20054()No.42005(170)JOURNALOFXIAMENUNIVERSITY(Arts&SocialSciences)GeneralSerialNo.170X,(,361005):A,A,,,,,,,CPPI:;;:F830.91:A:0438-0460(2005)04-0048-0720032004,A,???,100%A,,,,,100%A20041011,100%A,,184X:2004-12-25:2003(03JB790016);()(2003B069):(1976-),,,,;(1974-),,,,1100%A11%-4.756%-3100%-310.0010.0010.00()5.43%2.54%2.54%42.510.0011%=1.1010.006%=0.60:21%,31.5%,42%10.5%,21.5%,2.52%04.7533100%()10.0010.0010.0010.00210.0010.00(%)3.314.7434.37:(1)()5,(2),11,,,0%,(11%-4.7519,12),,,:1++nni=1max[0,(STiS0-1)],n=1912(1),:1,:(1):,,11%6%0%(2):,(),,,3.31%4.74%34.37%,STiiA50,S0()5A50()100%A(1),100%A,,11%6%,,A50,()100%A,B,c,f,,94A50A50()A,A50V=B+c+f(2),,Bc,,,10,,1.:B=ni=1ITi(1+RTi)i,ITii,RTi100%A,,,,,CD2004823CD,,,2004823LIBOR()(),AAA,,2.(1)(1),100%Ac,,,,max[0,(1nni=1STiS0-1)],1nni=1max[0,STiS0-1)],,:c=^Eni=1max[STiS0-1,0]n=e-Tn(Tn-1)S0nEr{ni=1max[(STi-S0),0]}=e-Tn(Tn-1)S0n{[S0eT1(T1-t)N(d11)-S0N(d12)]+[S0eT2(T2-t)N(d21)-S0N(d22)]+L+[S0eTn(Tn-t)N(dn1)-S0N(dn2)]}=e-Tn(Tn-1)S0n{[eT1(T1-t)N(d11)-S0N(d12)]+[eT2(T2-t)N(d21)-d22)]+L+[eTn(Tn-t)N(dn1)-N(dn2)]},di1=(Ti-2P2)(Ti-t)Ti-t,di2=di1-Ti-1(3)05100%A2004823,,2004823EP(0,Tn)(ExpectationinaWorldthatisForwardRiskNeutralwithrespecttoP(0,Tn)),P(0,Tn)Tn1,T10,A50(3),,,Ti,n,T1,,T1,,,A50,,,,,,Merton(1973),[1],c=(X=S0)=S0c(X=1),XS0S01,(3),S0,(2),GARCH(1,1),A50,20037212004823,Eviews,,,GARCH(1,1),24.1%(3)Ti,2004823,(4),(3),3.2:2(%)(%)4.75%-11%9.380.1643.310.549.9773100.233%-6%9.6540.134.740.259.9696100.303%-0%9.08400.1334.370.259.7848102.202,,,,,,15A502004119,,,,0%,,,:(1),20037212004823A50,,A,,38%,1995-200139%(2):,,,(:P),,,,,()100%A,,,,[2],,,,,,(OTC),,Delta[3]100%A,(),,AP,,A,Delta,,,2003-2004,,(1),:1+max[0,STS0-1](4)(4)(1),0%(),100%,STS0,,,,100%,(4),25,(CPPI),:1.(),2.,3.(),,,:It+1=MPt=M(Vt-Ft)=M(It+Bt-Ft)(5),Vtt,Itt,It+1,Ptt,Btt,Ftt,M4.,,,,(),,,,,,,,,,,,CPPI(,)?,,(),,,(),,,,,,,,,,,,(),,,,,,,:,,,,35,,2005,,,,,20042,,,,,,,,,,,,,,,,;,,,,,,,:[1]MERTON,ROBERT.TheTheoryofRationalOptionPricing[J].BellJournalofEconomicsandManagementScience,4(Spring),1973.[2]CHEN,A.H.,&KENSINGER,J.WAnAnalysisofMarket-indexCertificatesofDeposit[J].JournalofFinancialSer2vicesResearch,4,1990.[3]CHANCE,D.M.,&BROUGHTON,J.B.MarketIndexDepositoryLiabilities:Analysis,InterpretationandPerformance[J].JournalofFinancialServicesResearch,1,1988.[:]AnEmpiricalStudyandContrastofGuaranteedFundsintheChineseMainlandandHongKongMarketsCHENRong,GUOXiao2wuAbstract:GuaranteedfundsarenewproductsinChinesemarket.ThisarticletakesanempiricalstudyontwoguaranteedfundsintheMainlandmarketandHongKongmarket.Weexplorethedesign,pricingandriskmanagementofthesetwofundsandanalyzethemarketobstaclestodevelopembedded2optionguaranteedfunds.Finally,weproposesomepracticalopinionsandsug2gestionsforthedevelopmentandregulationsofthederivativesinChina.Keywords:guaranteedfunds,pricingmechanism,riskmanagementmechanism45