| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 94 === In recent years, Taiwan stock market went up and down sharply. And investors appear to have turned more conservative than previously. In order to meet investors requested, the investment trust corporations tried to sell more conservative products such as (1) the fund of Constant Portion Portfolio Insurance Srategy, named CPPI, (2) the fund of Time-Invariant Portfolio Protection, named TIPP. Then the thesis is not only comparing the difference between Portfolio Insurance strategies (CPPI and TIPP) but also trying to find out the best solution to enhance the performance of portfolio. Therefore, the solutions of the Portfolio Insurance Strategy extracted the dynamic multiplier M to instead of static multiplier .
The study used the backtesting way to research the performance of the portfolio that use risk-avoiding tools including several bull markets and bear markets. Moreover, the research also applied technical analysis of stock trend while got the dynamic M . The portfolio insurance of dynamic M , the analysis called Revised Portfolio Insurance.
The empirical results shows: (1) Revised Portfolio Insurance generated higher investment return and higher sharp index. (2) For long-term investing, Revised Portfolio Insurance would get higher excess return than Portfolio Insurance. (3) we found out the most optimized dynamic M of Revised Portfolio Insurance if λ=0.4 . And λ is a parameter of M .
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