Research On Insurance Strategy Of Stock Portfolio In China

In the nineteenth century, with the rapid development of the securities market and the rapid accumulation of capital, stock is becoming a very important investment tool for investors. When investors chasing high-yield stocks, there is a high risk that their assets may be lost at any time, which is the so-called "investment has certain risks, be wised with your decision". Thus how to balance the income from investment and the investment risk is always the essential problem for investors. Investors desire some approaches to limit the risk while improving the income. Investment portfolio insurance strategy is proposed to address this problem. It is an approach to limit the investment risk while obtaining the income of venture investment. More specifically, investors can obtain the income from the price-rising stocks with keeping the value of insurance portfolio higher than minimum we set. Considering the concrete national conditions, investors in China are mostly risk-averse. They are cautious about the investment of risk assets. They always want to get higher returns at lower risk status. Thus, the research of investment portfolio insurance strategy is necessary whether in theory or in practice.In this pape-r, we sample the closing prices of the CSI300 index from year 2010 to 2015. According to the market trends, we divide the data into three periods. They are bull market、 bear market and consolidate the market。 In this paper, in order to get the optimal solutions in different periods, we utilize MATLAB to compare and analysis various investment portfolio insurance strategies. We also discuss the impact of parameters, such as the protect proportion of strategy, adjustment and risk multiplier on the performance indicator of the investment portfolio insurance strategy. From the analysis of the values of closing asset portfolio with different investment portfolio insurance strategies in the entire historical data, we can obviously see the performances of different investment portfolio insurance strategies. Then we divide the entire data into three parts, to analysis the level of performance of different strategies. At last, we draw our empirical results.Here we list the empirical results as follows:1) Long-term implementation of investment portfolio insurance strategy is effective.2) There is not an investment portfolio insurance strategy has absolute advantages. It points the significance of studying different investment portfolio insurance strategies.3) In the entire periods, the value of the end period assets by CPPI and TIPP respectively is higher than that by the strategy of B&H. Specific to each different market, such as in the bull market, the yield rate by CPPI is higher than that by TIPP with the greater investment risk. In the bear and consolidation markets, the strategy of TIPP is better than the strategy of CPPI.