Research Of The Dynamic Portfolio Insurance Adopting In China's Security Market

The dynamic Portfolio Insurance (PI) tactics is contrast with the static PI tactics. It is the tactics, which achieve the goal of avoiding risks through changing the proportion between cash or bond and stock constantly according to a certain rule in the fluctuation of stock market. The common dynamic PI tactics involves Otion-Based Portfolio Insurance tactics(OBPI), Constant Proportion Portfolio Insurance tactics(CPPI), Constant Mix tactics (CM) and Time Invariant Portfolio Insurance tactics (TIPI). The sample is the data of 100 Index of Shenzhen stock market from the 2nd of January to June 30,and the thesis has made comparative analysis about the different behavior under different market situation of the three kinds of tactics-- the CPPI tactics, CM tactics and TIPI tactics, in the hope of examining the validity of these kinds of dynamic PI tactics in the market of China, and examining whether these kinds of dynamic PI tactics are there different performances under different market situation. We can draw these conclusions through analysis: 1.The three kinds of dynamic PI tactics have significant different effect under China's different market situation. 2.Suppose the fluctuation of security market could be anticipated, the CPPI tactics has the best performance in the bull market, the TIPI and CM tactics is noneffective; but in the bear market, the CPPI and TIPI tactics is effective, the CM tactics is noneffective. 3.When the fluctuation of security market can't be anticipated, adopting single strategy all the time is fitting. And here the effect of CPPI tactics is obvious; the CM tactics is effective but not obvious; and the TIPI tactics is noneffective. 4.In the normal condition, the investor would choose the TIPI tactics or the CPPI tactics.5.The CPPI tactics should be discreetly adopted, because this tactics will increase the fluctuation of stock market and consequently increase the system risk.6.In the normal condition, adopting the TIPI tactics all the time is more safer.7.It is necessary to control the application of dynamic PI tactics, so as not to cause the stock market to be overheated or collapsed.