The Empirical Study Of The Portfolio Insurance With The Risk Multiple Dynamic Adjustment

The risk of stock market mainly divided into the systemic risk and the non-systemic risk. It is possible to counter-balance mutually through the equity portfolio to melt the non-systematic risk,but avoiding systemic risk requires portfolio insurance policy, thereby ensuring investors can continue to have asset appreciation potential, meanwhile avoid the risk of falling prices of assets.What the most utilization of profolio insurance in the money market of our country is the guaranteed fund. Portfolio insurance can generally be divided into static portfolio insurance strategy and dynamic portfolio insurance strategy. Combined with the actual condition of our country's financial market and the characteristics of guaranteed fund,we can use more flexible CPPI strategy and TIPP strategy to promote the yield of guaranteed fund.The most primary and flexible factor of the CPPI strategy is the risk multiple m. This article makes the adjustment to the dynamic profolio insurance strategy's risk multiple, introduces a dynamic multiple adjustment factor,then combined with the actual situation of the domestic stock market, we can conclude by using empirical analysis to study performances of different markets and different affecting factors of CPPI strategy and TIPP strategy with dynamic adjustment of risk multiple,and draw the comparison between the traditional and the optimal CPPI strategy and TIPP strategy that firstly whether in the bull market or bear market,the performance of the portfolio insurance with the risk multiple dynamic adjustment is better than the traditional. In the initial rise last fall under the shock of the market, the performance of the portfolio insurance with the risk multiple dynamic adjustment is slightly inferior to the traditional. In the initial fall last rise under the shock of the market, the performance of the portfolio insurance with the risk multiple dynamic adjustment is superior to the traditional.secondly,in the long period,the benefits four strategies gain increase gradually along with the increasing of the risk multiple.In the short and shake market, the losses will increase along with it.However,as we expected, the portfolio insurance with the risk multiple dynamic adjustment is better than the traditional in four strategies.Thirdly,as the increase of the floor,the asset protection of all strategies gradually strengthen,while in long period also lose more rising income.Finally,when the multiple increase from 1 to 3,using the portfolio insurance with the risk multiple dynamic adjustment can gain more benefits and get better protection in ascending and decending period.Portfolio insurance strategy is a kind of strategy that adjust the proportion of the risk assets and risk-free assets depending on volatility of the price of risk assets to achieve the purpose of hedging during the period of investment.In the actual investment activities, investors often face unknown market conditions, and the Chinese stock market is in a stage of the stock market correction,therefore, after comparative analysis of the performances of the portfolio insurance with the risk multiple dynamic adjustment and traditional CPPI strategy and TIPP strategy,in chapter 5,we main select three adjustment principles which are fixed time discipline, market move discipline and position discipline that are commonly used by domestic and foreign investors, to testify the performance of the portfolio insurance with the risk multiple dynamic adjustment under the three disciplines in the shock market, we may conclude that firstly investors can adjust the positions of the risk assets and risk-free assets in time according to the change of the proportion of risk assets in the shock market, the performance of the portfolio insurance with the risk multiple dynamic adjustment using position discipline is relatively better. Secondly, the best period of fixed time discipline is six days.Considering market move discipline,4% is the best ratio that the performance of the portfolio insurance with the risk multiple dynamic adjustment is the best and the risk is the smallest.About position discipline when the ratio set to 0.9%, the performance of the portfolio insurance with the risk multiple dynamic adjustment is better,and the risk relatively less.