| Capital Preservation Fund refers to that the fund can give investors a certain of guarantee at maturity. Stock markets are broke down for that global economics has went into recession . Shanghai stock Index in our country fall from 6124 (the highest point in 2007) to nowadays 2000 around . Some stock fund investors suffered heavy losses, the objectives of investors transfer from value-added to more and more conservative. At the same time, Capital Preservation Fund is sought after by investors today, because of a little loss. They are safe invest goods in low savings rate now. Therefore, in such circumstances, the Capital Preservation Fund is necessaryfor research.This article introduces the Capital Preservation Fund and the Fund'sprofile, does a systematic study of portfolio insurance (the core of Capital Preservation Fund), and make models towards some strategies often used in markets, and obtain the stochastic differential equation of net fund value under CPPI model for assuming risk assets subject to the geometric Brownian motion. And illustrate that the expected yield of fund is not lower than the minimum capital preservation, so ensuring the proceeds at maturity. In the stop-loss strategy, assuming interest obey Vassick model ,we obtain the PDE of Capital Preservation Fund, and calculate the reasonable value of Capital Preservation Fund after solving the model. Under the buy strategy in European-style, Capital Preservation Fund is separated into a Treasury bond position and some of the Asian option. The difficulty in fund pricing is Asian option pricing. We give the PDE of Asian options. But the solving process is too complicated. So we use Monte Carlo simulation to solve this problem, and solve through Matlab procedures on computer.Finally, in order to reflect the reality better. This paper, under some assumptions , combined with the Shanghai stock index, do practical research towards some investing strategies under bull markets and bear markets ,draw a more valuable Experience. |
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