An Empirical Analysis of the Mixed Portfolio Insurance Strategy

被引：0
|
作者：
Zhou Sheng [1 ]
Shi Benshan [1 ]
机构：
[1] SW Jiaotong Univ, Sch Econ & Management, Chengdu 610031, Peoples R China
来源：
PROCEEDINGS OF THE 2ND (2010) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT | 2010年
关键词：
portfolio Insurance; CPPI strategy; TIPP strategy; mixed strategy;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Based on the brief introduction of the constant proportion portfolio insurance (CPPI) strategy and time-invariant portfolio protection (TIPP) strategy, this paper presents a new mixed portfolio model which is established by means of technical analysis We compare the effectiveness of these three strategies on the composite index of Shanghai Stock Exchange with different minimum insured values and multipliers The results show that the new strategy is able to limit the downward returns while retaining certain upside returns
引用
收藏
页码：86 / 90
页数：5
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