基于随机模糊投资乘数的离散CPPI资产配置研究

摘要

Based on the analysis framework of the traditional CPPI investment strategy, we establish the CPPI investment strategy with which the trading decision is made in the discrete time on condition that the risky asset is driven by a continuous-time process. Measuring the psychic expectation of the investor with the analysis method of the fuzzy decision, we revise the risk multiplier in the traditional CPPI investment strategy into the random fuzzy risk multiplier, and simulate the future market price of the risky asset by using the Markov-Chain-Monte-Carlo simulation, then describe the uncertain degree to which the investor anticipates the future market state with the fuzzy membership function, so we can make sure that the CPPI investment strategy can gain the relatively stable investment effect even though the investor' s anticipation of the market is iuprecise. Empirically analysing the data of the China security market, we conclude that the random fuzzy risk multiplier can cover the investment anticipation uncertainty maximally; the CPPI investment strategy based on the random fuzzy risk multiplier for investment can be more flexible than the traditional CPPI in the different market state, and it can gain more investment income on condition that the investment insured.%以传统CPPI投资策略的分析框架为基础,在风险资产为连续价格波动的条件下,构建离散投资决策时点的CPPI投资策略.引入模糊决策的分析方法度量投资决策者的心理预期,将传统CPPI投资策略中的投资乘数修正为随机模糊投资乘数,采用马尔科夫链蒙特卡洛模拟风险资产未来市场价格,利用模糊隶属函数描述投资决策者对未来市场运行状况预期的不确定性,保证即使投资决策者预期不精确的条件下,也能保证离散CPPI投资策略获得相对稳定的投资效果.利用中国证券市场上的真实数据进行实证检验,认为:随机模糊投资乘数最大限度地涵盖了投资决策者主观预测的不确定性;基于随机模糊投资乘数的离散CPPI投资策略在不同的市场运行状况中,较传统的CPPI投资策略更具投资的灵活性,可以在保证投资保险的前提下,追求较高的投资收益.