上海管理科学2017，Vol.39Issue(5)：13-19,7.
股票型结构化信托产品平仓规则创新与下偏风险规避
Innovation of Closing Rules for Stock Structured Trust Products and the Following Risk Aversion
马磊1
作者信息
- 1. 上海交通大学安泰经济与管理学院,上海200030
- 折叠
摘要
Abstract
This article uses the GARCH model and monte carlo simulation method to research that how the hushen300 underlying trust product operates under the weekly and monthly closing rules with the addition of "immediate" closing lines.The result shows that the closing rules innovation added with the "immediate" closing lines can increase the whole yield rate and reduce the probability of the closing of the trust product,also,it can control the downside risk.As a result the article suggest to add the innovative term to the stock investment structured trust products,consequently the product will run more smoothly.关键词
股票型结构化信托产品/GARCH模型/平仓规则创新/下偏风险规避Key words
stock investment structured product/GARCH model/innovation of closing rules/avoid of the downside partial risks分类
管理科学引用本文复制引用
马磊..股票型结构化信托产品平仓规则创新与下偏风险规避[J].上海管理科学,2017,39(5):13-19,7.
