中文摘要：

选择股票与有信用风险的企业债券作为固定比例投资组合保险（CPPI）的投资对象,分别在连续及跳跃市场背景下,给出了连续时间与跳跃过程两种情况下含违约资产的CPPI的显式表达式.通过鞅方法证明了含违约资产的CPPI与未定权益的对冲关系,并通过投资实例进行了模拟分析.

英文摘要：

Stocks and corporate bonds with credit risks were chosen as investment objectives of constant proportation portfolio insurance （CPPI） strategy. Under the condition of continuous time and jump market, the explicit expression of CPPI was given. The hedging relationship between CPPI and contingent claims was oroven through the martingale approach, and a simulation was conducted through an investment case.