| Markowitz made the definition of the capital market’s risk as the systematic risk and Unsystematic risk after many years resreach of the portfolio theory.systematic is often referred to as the market risk,it is producted in countries or regions of the political, economic and other factors cannot be controlled and predicted,lead to potential losses unpredictably.unsystematic risk is also called diversifiable risk,It is made by the special factors of a certain industry and caused the industry asset price volatility and possible loss. Systemic risk spreads to a wide range, harm is big, usually for economic crisis or even a recession,and cannot be eliminated,portfolio strategy could do noting about it.The unsystemic risk is small, the influence usually can be eliminated by the diversified investment portfolio strategy.Investment portfolio insurance strategy is first proposed by M.Rubinstein and H.Leland in the 1981, which sets the minimum value portfolio to retain when the market presents the favorable trend of profit opportunities.It takes the financial derivatives or dynamic replication technology to hedge or transfer the risk, specifically application of a no arbitrage equilibrium technique in the risk control of the process of financial engineering,At the same time, can also provide important strategy reference for investors to avoid market risk.In the 1980 s the Portfolio insurance strategy gradually are widely used in the international financial market.Portfolio insurance strategies, including CPPI and TIPP strategy get extensive application in our country’s financial markets and a high degree of recognition.The portfolio insurance strategy is uesed to avoid systemic risk, it can largely avoid or locking system risk. So, more and more large international investment institutions and domestic large investment institutions to accept it.But in the presence of a situation of extreme changes in the market, its own restrictions on the mechanism will often have great influence on the effectiveness of strategy.With the influence of the increasingly integrated global economy and international financial technology innovation and other factors, resulting in global financial markets has had a fundamental and structural changes, financial assets scale rapidly expanding, the financial derivatives efficiency is improved greatly, which makes the volatility of the global financial markets continue to increase, the financial storm frequently.Since entering the new century, many of the international financial crisis broke out, such as the euro crisis, Mexico financial crisis, the Asian financial crisis, and erupted in the United States in 2007, is still in the subprime mortgage crisis of the world economy.Therefore, the improved CPPI strategy, set the restrictive conditions, the dynamic adjustment of risk multiplier at the same time, extreme value theory is introduced, focusing on extreme risk, through the calculation of the threshold of VaR, not only pays attention to the whole income distribution, but also considering the extreme market risk.This paper firstly introduced the portfolio insurance strategy definition, status and classification of domestic and foreign research, extreme value theory and its application and value at risk.The key to the strategy of CPPI as an example, introduces the model and its defects, puts forward the defects of the corresponding improvement tactics,construct the optimize the restrictive conditions, the extreme value theory is introduced, to adjust the exceeds a threshold value at risk the risk multiplier, and the Shanghai and Shenzhen 300 stock index and SSE 50 Index for empirical analysis.By comparing adjustment before and after adjustment of the income portfolio, on the rise and the shock stage, income has been improved significantly, in shock stage, has the gains are effectively protected, can increase the final total revenue. |
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