An Empirical Analysis of the Mixed Portfolio Insurance Strategy

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