Investment Portfolio Insurance Strategy And Numerical Study On CPPI

Theoretically, investors can diminish the non-systemic risk of a portfolio through portfolio management theory and diversify investment, while the other risk named systemic risk can not be solved in that way. With the support of option theory, Rubinstein & Leland advocated the Investment Portfolio Insurance Strategy in 1981. After that, these strategies had a great development and had come to its academic peak in the late 1980s and early 1990s. Presently, the Investment Portfolio Insurance Strategy becomes an important branch in investment field.The main aim of investment portfolio insurance strategies is to protect the investors from the risk of the downward of the assets value and to posses the potentialities of the assets value. Investors can use these strategies to keep the opportunity of upside profit while being able to control the risk caused by the reduction of downside lose. Adoption of portfolio Insurance strategy can keep the price of portfolio a certain extern away from invasion of price-vibration, and eliminate the systemic risk of portfolio to avoid downside Rask, lead a benefit of stock market. This kind feature makes investment portfolio insurance strategies widely used in the Guaranteed Funds, Society Insurance Funds and so on.This dissertation first briefly summarizes and compares different kinds of investment portfolio insurance strategies, and then analyzes and compares the operation of the overseas and domestic Guaranteed Funds. Finally, uses the data of Shanghai stock market and Monte Carlo simulation method to analylize the performances of CPPI strategies. This dissertation hopes to give a right and intuitive judgment of these strategies under different markets and parameters enactment.