Project Details
Abstract
Portfolio insurance strategies control the risk of a portfolio within a certain level. While
protecting the asset value from being below a predefined bottom, portfolio insurance strategies
also engage in aggressive profiting. Portfolio insurance strategies can be categorized into Option
Based Portfolio Insurance and dynamic portfolio insurance such as Constant Proportion Portfolio
Insurance (CPPI) and Time-Invariant Portfolio Protection (TIPP). The simplicity and flexibility of
CPPI and TIPP have made them representative of contemporary portfolio insurance strategy.
In the decision-making of a portfolio insurance problem, the investor must select the target
asset or portfolio before determining the multiplier and in turn the risk position. Current studies
assume that the multiplier is a function of portfolio return and risk, and even market factors.
Seemingly, all studies overlook the effects of portfolio selection upon the performance of a
portfolio insurance strategy. Admittedly, every portfolio has an optimal multiplier, but does every
combination of a portfolio with corresponding optimal multiplier lead to the same performance? If
so, any portfolio can be selected to deliver the same performance. However, this is apparently
impossible. Therefore, the performance of an insurance strategy still depends on the selection of
portfolio, and the selections of portfolio and multiplier are not independent. They must be
determined at the same time to maximize the investment profit. In other words, there exists an
optimal portfolio insurance strategy in a specific market. This study intends to concurrently
determine the optimal portfolio and optimal multiplier by using mathematical programming and
genetic algorithm, to investigate their applicability, and to compare their performance and
adaptability to market changes with existing methods.
Project IDs
Project ID:PB10106-0242
External Project ID:NSC101-2410-H182-003
External Project ID:NSC101-2410-H182-003
Status | Finished |
---|---|
Effective start/end date | 01/08/12 → 31/07/13 |
Keywords
- Portfolio insurance strategy
- Constant Proportion Portfolio Insurance
- Time-Invariant Portfolio Protection
- Portfolio Selection
- Multiplier
Fingerprint
Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.