[MATLAB]固定比例投资组合保险策略CPPI 的模拟与计算

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1. %%
   
2. %CPPI simulation
   
3. PortValue=100; %Portfoilo Value
   
4. TradeDayTimeLong=250;
   
5. TradeDayOfYear=250;
   
6. RisklessReturn=0.05;
   
7. TradeFee=0.005;
   
8. Riskmulti=[2,2.5,3,3.5,4];
   
9. GuarantRatio=[0.95,1.00];
   
10. adjustCycle=[1,5,10,20];
    
11. CPPITestMatrix=zeros(length(GuarantRatio)*length(Riskmulti)*length(adjustCycle),7);
    
12. %CPPIResult=[GuarantRatio,Riskmulti,adjustCycle,Return,Volatility,SumTradeFee,portFreez]
    
13. %%
    
14. num=0;
    
15. for i=1:length(GuarantRatio)
    
16.     for j=1:length(Riskmulti);
    
17.         for k=1:length(adjustCycle)
    
18.             num=num+1;
    
19.             CPPITestMatrix(num,1:3)=[GuarantRatio(i),Riskmulti(j),adjustCycle(k)];
    
20.         end
    
21.     end
    
22. end
    
23. %%
    
24. testNum=1000;
    
25. %to generate random numbe
    
26. Mean=1.2^(1/TradeDayTimeLong)-1;
    
27. Std=0.3/sqrt(TradeDayTimeLong);
    
28. Price0=100;
    
29. SDataMatrix=zeros(testNum,TradeDayTimeLong+1);
    
30. for i=1:testNum
    
31.     SData=RandnPrice(Price0,Mean,Std,TradeDayTimeLong)
    
32.     SDataMatrix(i,:)=[Price0;SData];
    
33. end
    
34. 
    
35. %%
    
36. %CPPI compute
    
37. SumTradeFee=zeros(testNum,1);
    
38. portFreez=zeros(testNum,1);
    
39. testReturn=zeros(testNum,1);
    
40. testVolatility=zeros(testNum,1);
    
41. for testNo=1:length(CPPITestMatrix)
    
42.     for i=1:testNum
    
43.         %CPPIResult=[GuarantRatio,Riskmulti,adjustCycle,Return,Volatility,
    
44.         %SumTradeFee]
    
45.         TRiskmulti=CPPITestMatrix(testNo,2);
    
46.         TGuarantRatio=CPPITestMatrix(testNo,1);
    
47.         TadjustCycle=CPPITestMatrix(testNo,3);
    
48.         [F,E,A,G,SumTradeFee(i),portFreez(i)]=CPPIStr(PortValue,TRiskmulti,TGuarantRatio,TradeDayTimeLong,...
    
49.             TradeDayOfYear,TadjustCycle,RisklessReturn,TradeFee,SDataMatrix(i,:));
    
50.         testReturn(i)=( A(TradeDayTimeLong+1)-A(1) )/A(1);
    
51.         testVolatility(i)=std( price2ret( A ) )*sqrt(TradeDayOfYear);
    
52.     end
    
53.     CPPITestMatrix(testNo,4)=sum(testReturn)/testNum;
    
54.     CPPITestMatrix(testNo,5)=sum(testVolatility)/testNum;
    
55.     CPPITestMatrix(testNo,6)=sum(SumTradeFee)/testNum;
    
56.     CPPITestMatrix(testNo,7)=sum(portFreez)/testNum;
    
57. end
    
58. CPPITestMatrix

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关键词：投资组合保险策略 MATLAB matla atlab 投资组合

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没记错的话，应该是郑志勇的matlab书上的