Finance36F832A1005-5800(2013)10(c)-069-021(Efficient-MarketsHypothesisEMH)(EugeneFama)1970(weak-form)(semistrong-from)(strong-from)12(2003)20019281997(2004)19925212003920AR-GARCH-M3(StrategicAssetAllocationSAA)(Long-termAllocation)(Buy-and-hold)(ConstantMixStrategy)(PortfolioInsurance)3.13.23.3(ConstantProportionPortfolioInsuranceCPPI)()At=Dt+EtEt=min[M(At-Ft),At]Ett(Exposure)M(Mutiplier)M1Att(Asset)Ftt(Floor)(At-F)Ctt(Cushion)4(2013)10(c)-070-0211.11.219991.3(1975-)1()Pt=Pt-1++i(t-1t)tt-1T+1tt-1[1],.[M].:,2011.[2],.[J].,2010(01).[3].[M].:,2012.[4].:[],(6)07020110