Excel金融建模工具箱

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CPPI 策略

参数设置：情景模拟：

步数时间

股价保底线

CPPI股票数股票当前价格

1年波动率 (s 2无风险利率3距离到期时间4567乘数89调整时段0.006

10111213按 F9 重新运算

14150.0945102.449500003595.68160.1008102.559500003638.07170.107199.789500002946.88180.1134102.0395********.58190.1197106.189500004370.46200.126107.28

9500004695.95

股票价值无风险资产利息CPPI B&H

10000001000000

10075031018286

988208975194

980494949897

985290967666

973461926363

978592950468

981071959786

985925977637

988761986537

990392991044

984006970814

980634957981

9944881011230

10106251056510 368334.80627707.05197.739960421024381 373076.25623558.28196.429966********* 294034.33692719.96218.21986754997782 348785.94644812.30203.129935********* 464065.15543942.99171.3410080081061823 503776.82509195.28160.4010129721072789