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Contingent Portfolio Insurance Strategy and It’s Empirical Study in Chinese Stock Market

Author: YuJun
Tutor: ZouXiaoPi
School: Zhejiang University
Course: Finance
Keywords: The Contingency -type portfolio insurance Filter rule VaR Options
CLC: F224
Type: Master's thesis
Year: 2004
Downloads: 196
Quote: 1
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Abstract


The rise of portfolio insurance in the 1980s , the practice is widely institutional investors adopted , academia still continuing to scholars to conduct research . The basic idea is : to pay a specific premium , by sacrificing a little above the interests of prices , to lock in prices facing the risk in the portfolio , the portfolio 's risk control in an acceptable range , below the loss is limited . In this paper, the theoretical foundation of portfolio insurance and a variety of portfolio insurance strategies, and reviews on the basis of design empirical methods and processes , combined with the Shanghai Composite Index empirical study of a the Contingency portfolio insurance strategy , and non- contingent investment portfolio insurance strategy and the buy and hold strategy were compared. Black Scholes option pricing model and options copy theory is the theoretical basis of the portfolio insurance , which derived from the two types of portfolio insurance strategies : one is the use of the Black Scholes option pricing model , derived using option -based portfolio insurance strategy (option-based portfolio insurance, OBPI), and those based on the investor's own risk-return preferences and affordability , setting some simple parameters to achieve the purpose of insurance . In addition , this paper VaR theory based portfolio insurance strategies VaR ( VaR -Based Portfolio the Insurance Strategy VBPIS ) , the insurance policy rich portfolio insurance . Empirical methods in this article to give up the whole continuous for the adjustment of asset allocation , portfolio insurance strategy only in the short time to filter rule (Filter Rules) as indicators to judge the stock market bulls or bears , bullish , buy hold strategy , to improve the performance of the portfolio insurance strategies . Can be found from the empirical results , Contingency type of portfolio insurance strategy , performance was significantly better than non - contingency portfolio insurance strategy and the buy and hold strategy , which shows Contingency type of portfolio insurance strategy in China has strong applicability .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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