Portfolio Strategy With Guaranteed Investment And Empirical Study

Portfolio strategies originated from option-based portfolio insurance strategy andCPPI strategy are considered in this paper.Under the cost constraints in hedge and permission of imperfect hedge, theinfluence on option-based portfolio insurance strategy from the assumptions of thetight constraints of budget and European put option always executing are contrastivelystudied by simulated experiments with analog data and real data. The experimentalresults show that the assumptions of the tight constraints of budget and European putoption always executing affect the optimal choice and risk control of option-basedportfolio insurance strategy, and the effect can’t be ignored in the actual operation.On the basis of CPPI strategy, an improved strategy of CPPI strategy calledDPPIM strategy is made by introducing Markov chain into CPPI strategy. There arecomparative studies for DPPIM strategy versus CPPI strategy and TPPI strategy bysimulated experiments with real data. The experimental results show that therobustness of the income distribution of DPPIM strategy is similar to CPPI strategyand TPPI strategy, and all of them protect portfolio from loss in some way. Further,DPPIM strategy gets ride of the loss due to low risk multiplier in CPPI strategy andTPPI strategy.