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The Empirical Study of the Portfolio Insurance with the Risk Multiple Dynamic Adjustment

Author: GuoZuo
Tutor: YaoYuan
School: Henan University
Course: Finance
Keywords: Portfolio Insurance Strategies Risk multiplier Adjustment rule Dynamic adjustment factor
CLC: F830.91
Type: Master's thesis
Year: 2011
Downloads: 49
Quote: 0
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Abstract

Stock market risk is primarily divided into systemic risk and systemic risk. Cancel each other to resolve the non-systemic risk by portfolio, you need to avoid systemic risk portfolio insurance strategies, thus ensuring that investors can either continue to have the potential of the asset value, and also to avoid the risk of asset prices fell. Portfolio insurance strategies in China's financial markets is the most important Preservation Fund. Portfolio insurance strategies are generally divided into static investment combination of insurance strategy and dynamic investment in a combination of insurance strategy, combining the characteristics of China's financial market the actual situation and capital preservation fund the can through the use of more flexible CPPI strategy and TIPP strategy to improve the Capital Preservation Fund revenue rate. CPPI and TIPP strategy, the most important and flexible factor is the risk multiplier m. Therefore, dynamic portfolio insurance strategy risk multiplier adjustment, the introduction of a dynamic multiplier adjustment factor, combined with the actual situation of the domestic stock market, the use of empirical analysis to study the different prices and different influence factors risk multiplier dynamic adjustment CPPI and TIPP strategy performance, compared with traditional CPPI and TIPP strategy, we have come: first, in the long and short period, the portfolio insurance strategies the risk multiplier dynamically adjust the performance is better than traditional CPPI strategy and TIPP strategies. Volatility in the market earlier rose and then fell, the portfolio insurance strategies the risk multiplier dynamically adjust the performance slightly inferior to traditional CPPI strategy and TIPP strategy. Prior or after inflation volatility in the market, the portfolio insurance strategies the risk multiplier dynamically adjust the performance to be better than traditional CPPI strategy and TIPP strategy. Second, with the increased risk multiplier in the bull period, the gains made by the four strategies gradually increasing. , By the losses will increase in the short and shock period. However, in the four strategies, risk the multiplier dynamically adjust the investment portfolio insurance strategy or asset protection is better than traditional CPPI strategy and the TIPP strategy, which is also in line with our expectations. With the increase in the quota of To Paul, the strategy of asset protection gradually enhanced, but the the bull period will lose more revenue rise. The fourth, the multiplier amplifier from 1 to 3:00, the risk multiplier dynamically adjust the portfolio insurance strategy in the period of the rise and downlink can get more revenue and play a better role in safeguarding. Portfolio insurance strategy is a risky asset price volatility in the investment period to adjust the proportion of risk assets and the risk-free asset to achieve the purpose of the strategy of the hedge, investors are often faced with the actual investment activities unknown market conditions, and at this stage of China's stock market is in a shock consolidation of the stock market, in contrast, analysis of risk the multiplier dynamically adjust the portfolio insurance strategy with traditional CPPI strategy and performance of the TIPP strategy in Chapter select domestic and foreign investors more commonly used fixed-time adjustment method, three adjustment rules, the market volatility Law and position adjustment method to verify the performance of the three adjustment rules under risk the multiplier dynamically adjust the investment portfolio insurance strategy in the market shocks, can be drawn: first, market shocks, position adjustment under the law, investors can change in a timely manner according to the proportion of risk assets on the asset position adjustment, the risk multiplier dynamically adjusted performance of portfolio insurance strategy is relatively better. Second, when the adjustment rule for fixed-time adjustment method, the date is set to 6:00 performance is relatively better; market volatility adjustment under the law, when the threshold is set to 4%, the risk multiplier dynamic adjustment of portfolio insurance strategies best performance, its risk smallest; positions Adjustment Act, when the threshold is set at 0.9%, the portfolio insurance strategies the risk multiplier dynamically adjust the performance of the best, the risks faced by relatively small.

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