An Empirical Study of Portfolio Insurance Strategy -Using Taiwan Stock Group Index

• Main Authors: Yen-Han Chen, 陳彥翰
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/04264362355407391670

碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === The main purpose of the research is to discuss all kinds of portfolio insurance strategies in different market environments. This researce tries to find the most effective portfolio insurance strategy and the feasibility of all kinds of portfolio insurance strategy. The insurance strategies under investigation includes constant- proportion portfolio insurance, time-invariant portfolio protection, constant-mix strategy, and buy-and-hold strategies. The Capitalization Weighted stock index, Fincial Weighted stock index, and Electric Weighted stock index of Taiwan Stock Exchange from Jan. 1995 to Dec. 2001 were used to test their performance under different insurance strategies. The result are as following: 1. The most effective portfolio insurance strategy for stock index is the buy-and-hold strategy (B&H(10,90)). The most effective portfolio insurance strategies for fincial stock index is buy-and-hold strategy (B&H(10,90)). The remuneration rate of buy-and-hold strategy (B&H(10,90)), however, is lower than the fix deposit rate. The most effective insurance strategy for electronic stock index is time-invariant portfolio protection strategy. 2. The most effective portfolio insurance strategies in different market environments are as following: (1) The CPPI strategy performs better at bull and bear markets for all indexs. (2) The TIPP strategy performs better at bear markets for all indexs. The TIIP strategy also perfoms well at trendless markets for fincial weighted stock index and electric weighted stock index markets. (3) The CM strategy perfoms better at trendless markets for Taiwan stock exchange capitalization weighted stock index.