Proportion Portfolio Insurance with Empirical Research

• Main Authors: Yao-Yu Hsieh, 謝曜宇
• Other Authors: Jeng-Fu Liu
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/61769623705663154477

碩士 === 輔仁大學 === 統計資訊學系應用統計碩士班 === 103 === This study aims to provide an invest indicator which could be adjusted according to preference of investors, based on relativity between earnings ratio and book ratio of property. And we consider a portfolio protection which holding the risky assets in fixed range. Besides, we match invest indicator with Constant Proportion Portfolio Insurance, CPPI, Time Invariant Portfolio Protection, TIPP, Constant Mix, CM, Buy and Hold Strategy, B&H, to verify and compare their performances in stock. The result shows setting weight of invest indicator in certain area would lead to better benefit. Though the benefit of FR is not as good as others, while it protects principal better.