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Determination Of Dynamic CPPI Multiplier-based On The Empirical Analysis Of The Guaranteed Funds

Posted on:2014-05-09Degree:MasterType:Thesis
Country:ChinaCandidate:Y HongFull Text:PDF
GTID:2269330398992832Subject:Statistics
Abstract/Summary:PDF Full Text Request
Constant Proportion Portfolio Insurance (CPPI), proposed by Black, Jones and Perold in1987, is one of the portfolio insurance strategies applied in the area of investment. This strategy is based on the risk assets price market trends and parameters setting to adjust the portfolio, and it is well known for its downside protection as well as the upside potential capture through the dynamic asset allocation. As a result, the CPPI strategy has been widely used in domestic financial institutions, especially in guaranteed mutual funds and retail bank products. However, the domestic financial institutions are unlikely to optimize the CPPI strategy or its research is not sufficient, even if the guaranteed mutual funds.Therefore, based on this background, the paper attends to find a simple improvement way to optimize the traditional CPPI strategy. First, author analyzes the basic theory of the CPPI strategy and views this strategy as the theoretical basis of this paper. Since domestic guaranteed mutual funds are the mainstream institutions which use the CPPI strategy, thus this article views the guaranteed mutual funds as the research objects and takes a brief review of their development process. And then this article points out the existing problems in the development process by contrast with foreign industry. In the empirical, from the view of BS option pricing model and market risk of fund’s portfolio, this paper calculates the risk multiplier of the next adjustment cycle. In the end, through the Monte Carlo simulation, the empirical result shows that this method is better than traditional CPPI strategy.
Keywords/Search Tags:Guaranteed Mutual Fund, Portfolio Insurance, CPPI, BS Option Pricing Mode
PDF Full Text Request
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