| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === In this study, the value of shares of the Taiwan 50 Index right to construct a leading indicator, the Taiwan Futures Exchange Taiwan Index futures for the study. Coupled with improved portfolio insurance, including Constant Proportion Portfolio Insurance, Time-varying Proportion Portfolio Insurance Strategy, and propose a modified dynamic changes in the multiplier model, the traditional portfolio insurance strategy to change the multiplier by a fixed percentage change in the way to see if can get the excess return. The results show that the study establishes a leading trading index and percentage change in the multiplier model can really get paid from the transaction, operating performance of buy and hold strategy during the same period.
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