Study of Dynamic Portfolio Insurance Strategy Optimization and Empirical

被引：0
|
作者：
Huang Junjun [1 ]
机构：
[1] Zhejiang Sci Tech Univ, Sch Econ & Management, Hangzhou 310018, Zhejiang, Peoples R China
来源：
COMPREHENSIVE EVALUATION OF ECONOMY AND SOCIETY WITH STATISTICAL SCIENCE | 2009年
关键词：
Portfolio Insurance Strategy; CPPI Strategy; TIPP Strategy; T-TIPP Strategy;
D O I：
暂无
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
Basing on some simple portfolio insurance strategies, this paper presents one strategy, Potive Time Invariant Portfolio Protection (T-TIPP)) strategy. The derives from Time-Invariant Portfolio Protection(TIPP)strategy and Constant Protection Portfolio Insurance (CPPI) strategy. Using empirical evidence on Shanghai stock exchange composite index and deposit rates, we compare different method's Performance under ideal and real condition.
引用
收藏
页码：422 / 426
页数：5
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