Solution On CPPI Portfolio Insurance Strategy Optimization

Constant Proportion Portfolio Insurance(CPPI)strategy is a prudent investment strategy with sacrificing a measure of price rise potential so as to control the risk within acceptable range of investors.The CPPI strategy has stronger applicability,flexibility and operability,and it's widely applied to the design of guaranteed fund products.However,in practice,the research of financial institutions in China is not adequate enough in practical application,and there is still much optimized space for solving practical problems.This article firstly elaborates the domestic and foreign research status and development situation of the guaranteed Funds.The CPPI strategy theory is stated including the advantages and disadvantages,application characteristics,etc.Secondly,there is a brief summary to CPPI strategy improvement strategies,and make an analysisof how to adjust the strategy.The analysis breakthrough points mainly focus on initial value baseline,risk multiplier and risky asset prices trend judgement,considering the adjustment time and adjustment range.Finally,use matlab to design the program with the historical data of the strategy in the simulation demonstration,combining with the domestic guaranteed funds and proposing corresponding solutions and innovation.The solution scheme is mainly from three aspects.The first is to modify the value baseline,accurately set the initial value baseline,to ensure that capitals are fully utilized;the second is under the circumstance of model setting,to add artificial trend judgement based on Bollinger band and KDJ technology index for achieving the complementary target on both model and human judgments;the third is through the program design of multidimensional simulation,to find the optimal combination of parameters adjustment for realizing flexible adjustment on cycle and risk multiplier.There may be risks and other problems in the implementation of the scheme.Through the demonstration of the program feasibility,the overall scheme is reasonable,practical and operational.The scheme provides the solutions for solving the problem of CPPI strategy adjustments.