Pricing of principal - protected funds in China : are the guarantee fees too high ?
نویسندگان
چکیده
This paper focuses on the pricing of guarantees for principal-protected funds under the constant proportion portfolio insurance (CPPI) strategy and investigates how the CPPI parameters may affect guarantee prices. In addition, it assesses the fairness of the guarantee fees charged to the current principal-protected funds in China. Our research indicates that some of the funds are charged higher premiums than what our model predicts. The results highlight the major issues of the current pricing method used by the Chinese guarantee funds.
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