The Empirical Research Of Dynamic Portfolio Insuirance Strategy In China

The investors wanted to lower investment risks and watched the development of stock,and prompted the formation of investment insurance and made it become an important research direction.According to the closing price data from Yahoo site,the paper divide the maket trend into three periods:Bull market,bear market,consolidation market,and use EXCEL to compare the portfolio insurance strategy of fixed multiplier to separe the optimal stragey.the paper compared the dynamic investment portfolio strategy of excluding transaction costs and non-transaction costs,well,it established and use the modle excluding transaction costs,and draw the optimal stragey.Finally,the paper draw the conclusions,according to the research in this paper,I put forward some proposals:strengthen the theoretical study and analysize the applicability of portfolio insurance theory in China's,and I make my outlook.The nnovations of paper as follows:(l).It compare the stragy including transaction costs and non-transaction costs;(2)It introduce the modle including transaction costs;(3)It use the formulas to prove that the transaction costs of CPPI strategy and TIPP strategy in bull makert is higher;(4)make the direction of the next research.