Hedge inflation risk of specific purpose guarantee funds
针对养老金担保基金等特定目的担保基金，提出了一种目的导向的恒定比例投资组合保险策略，通过优化资产配置来对冲与投资目的相关的通货膨胀风险，并证明了其优于一般投资组合保险策略。
Abstract Specific purpose guarantee funds (SPGFs) such as pension guarantee funds are popular among investors with both specific investment purpose and guaranteed return requirement but receive little academic attention. We propose a practical purpose‐oriented constant proportion portfolio insurance (PO‐CPPI) strategy that optimally allocates its assets into a risk‐free fund (floor) and a purpose‐related portfolio (cushion) to maximize prospect theory investors' utility with consideration of their purpose‐related inflation risk. Our closed‐form solution of optimal PO‐CPPI allocation derived in the continuous time case and Monte‐Carlo simulations in the discrete‐time and dynamic cases prove the superiority of PO‐CPPI over general portfolio insurance strategies.