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Studies Of Stock Index Futures-based Portfolio Insurance Strategies

Posted on:2012-09-09Degree:MasterType:Thesis
Country:ChinaCandidate:C M ZhouFull Text:PDF
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April 16,2010, the stock index futures contract came into use in China's financial futures exchange, which has very important significance on perfecting securities market mechanism. The market has also ushered in the true sense of shorting era. the core idea of Portfolio insurance strategy is the potential of a few prices sacrifice, in other words, rather pay a premium, to lock risk of falling prices of portfolio insurance, and make portfolio risk control in their acceptable range, and on this premise, as far as possible to share markets rose benefits. Its operating method is constantly adjusting ratio between risky assets and the risk-free asset.This paper will introduce hushen 300 stock index futures into portfolio insurance, its main purpose is what while locking down risk, optimizing curve of insurance policy of portfolio performance. This paper selects the typical CPPI strategy and TIPP strategy in portfolio insurance strategy, use yields, transaction cost, and volatility as performance measurement index. CPPI-ETF strategies area within CPPI stock index futures, and TIPP-ETF strategy, TIPP stock index futures strategy between the June 1,2005 and November 30, 2010, and analyzes performance of the key factors, which are the protect proportion of strategy, risk multiplier and adjustment. at first, This paper makes a positive analysis using MATLAB programming for the entire historical period, and then, it is divided into bull,bear and consolidation market, three markets in the performance of various strategies were compared, and analyzes performance of the key factors.The concludes from empirical analysis in the article is what at first, portfolio insurance strategy in a relatively long period is effective. Second, whether that strategy, none is absolute optimal choice in any market. Third, portfolio insurance strategy of the stock index futures greatly reduce transaction costs, optimize strategy yield curve, higher a little volatility than 50ETF slightly risk assets for portfolio insurance strategy, but the volatility are lower than the volatility risk assets itself.
Keywords/Search Tags:portfolio insurance, stock index futures, CPPI, TIPP
PDF Full Text Request
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