An Empirical Study of Portfolio Insurance Strategy - Using TAIEX Option as The Adjustment Tool

• Main Authors: Ta-Hsiang Huang, 黃達翔
• Other Authors: 林丙輝
• Format: Others
• Language: en_US
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/26129963323362253635

碩士 === 國立臺灣科技大學 === 企業管理系 === 91 === The idea of portfolio insurance is to reshape the return distribution so as to reduce the downside risk and retain a certain part of the upward gain. The strategies cannot be fulfilled without an appropriate hedging tool, and TAIEX options provide the investors with a choice. This paper has investigated the performance of three portfolio insurance strategies (CPPI, TIPP and B&H) that used TAIEX option as the adjustment tools during the period of 01/02/2002 to 03/19/2003. The results are as following：(1) the three strategies can achieve insurance effect. The best insurance effect that uses TAIEX call option as the adjustment tools is TIPP (3,70), and its return is 14.55% (12/19/2002 — 03/19/2003). On the other hand, the put option part is CPPI (1,70), and its return is 60.92% (06/20/2002 — 09/18/2002). (2) the discontinuous TAIEX option prices cause the failed insurance.