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Adjustment Method Of Portfolio Insurance Strategy Based On Volatility

Posted on:2016-09-08Degree:MasterType:Thesis
Country:ChinaCandidate:J Q XuFull Text:PDF
GTID:2349330503994733Subject:Finance
Abstract/Summary:PDF Full Text Request
Portfolio insurance strategy theory emerged in United States in the 1980 s, after 30 years of development, it has formed a relatively complete theoretical system with various strategies as well as strategy adjustment rules.As the start of my paper, several kinds of classic strategy of portfolio insurance strategy and the adjustment methods are introduced. Then, on the base of those theories, I introduced volatility into the adjustment law and develop a new portfolio insurance strategy adjustment law that based on the volatility. In the empirical part, we use the historical data of the past eight years of SH50 to try my adjustment law under OBPI, CPPI and TIPP strategy, and then compare the results with daily adjustment method under same conditions.Through the study I found that: the adjustment method based on the volatility which proposed in paper has high universality. It works well on OBPI, CPPI and TIPP strategy, and its performance is not affected by investment period, ratio of capital preservation, the influence of parameters such as risk factor changes. However, the change of market trend will bring adjustment method proposed in this paper some influence. In OBPI strategy, the use of the adjustment method is not limited to market trends, it preforms well under all the risen, fallen and volatility trends; When used in the CPPI strategy, its performance under risen market is not as good as that in shock and downtrend; When used in TIPP strategy, one-sided trends of market influence the performance of the adjustment law toward negative way, but investments during market trends that contains a shock interval still performs good.Based on the above characteristics, the research achievements of this paper can be widely applied to the real investment of the domestic financial market. It can be applied to the OBPI, CPPI and TIPP strategy, also can be widely used in the deformation of the three strategies, and other various kinds of portfolio insurance strategy. It can also combine with no-timing adjustment method, and improve the performance of the strategy. Therefore, this article research has broad application prospects.
Keywords/Search Tags:Portfolio insurance strategy, volatility, OBPI, CPPI, TIPP
PDF Full Text Request
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