Applying Market Profile on Integrating CPPI with TIPP of Portfolio Insurance Policy

• Main Authors: Ko, Meng-Chun, 柯孟君
• Other Authors: Chen, An-Pin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/90963760498752641179

碩士 === 國立交通大學 === 資訊管理研究所 === 101 === The research is based on Market Profile, Conformation of CPPI and TIPP by using rotation factor, taking FTSE TWSE Taiwan 50 Index for example, it simulate CPPI and TIPP by using Genetic Algorithm, which combines the dynamic adjustment of rotation factor for Multiplier, Portfolio Insurance Policy and Portfolio of Exposure. It presents two models, which are Return and Sharpe ratio, in Fitness Function of Genetic Algorithm. For choosing Portfolio Insurance Policy, it figured out that unit as one year, average of six months and slope of six months, there are six models totally. Finally, it also compared the difference from efficiency and accuracy in CPPI and TIPP. It is proved by experiment, Conformation of CPPI and TIPP by using rotation factor better then CPPI and TIPP. In conclusion, at high floor, return is superior Sharpe Ratio in the risk premium; at lower floor, Sharpe Ratio is superior return in the risk premium. In a higher degree of exposure, the rotation factor increase the return effectively; at lower exposure levels, the rotation factor difference and average of the dynamic model performance is better.