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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31646

    Title: 投資組合保險策略搭配濾嘴法則之績效比較
    Other Titles: Return comparison of portfolio insurance strategies with filter rule
    Authors: 許國書;Hsu, Kuo-shu
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Date: 2005
    Issue Date: 2010-01-11 01:05:25 (UTC+8)
    Abstract: 投資人在證券市場追求高報酬的背後,隱含的是面臨高度風險。近年來在國內外盛行的投資組合保險策略(Portfolio insurance),成為投資操作時,規避下檔風險的重要參考。
    1.固定比例投資組合保險策略(CPPI)與時間不變性投資組合保護策略(TIPP)是可依照個人對於風險不同的偏好來量身訂作投資組合保險策略。並且是可以依照市場狀況來作風險偏好乘數的調整。大盤走勢呈現多頭行情,就可以將乘數調高,而如果大盤屬於空頭的行情,則將乘數調低,若盤勢處於盤整的情況下,我們可以將乘數設在0 和1 之間,這樣的績效將會是最好的。
    Embedded in return enhancement is high investment risk. Portfolio insurance is one of the strategies prevailing in the recent years in protecting investors from this downside investment risk. One issue at hand is whether investors do need insurance protection during the whole term of their investment. That is the reason why this research adds in filter rules to judge the need of portfolio insurance in constructing a weighting-adjusted portfolio insurance strategy. Through continual adjustments of risky and reserving assets we can achieve the goal of portfolio insurance. We conducted a study to compare the benefits of the adjusted portfolio insurance strategy and traditional portfolio insurance strategy in terms of investment returns. In our study we used monthly data from the Taiwan Weighted Stock Index between January 1997 and December 2004 as our research material and adopted two methods, the Constant Proportion Portfolio Insurance (CPPI) and Time Invariant Portfolio Protection (TIPP), as our basic investment insurance strategies. We then applied the filter rule to form the weighting-adjusted portfolio insurance strategy to testify the feasibility of these methods in Taiwan stock market. Below are the conclusions we drew from our experiment: Both CPPI and TIPP are portfolio strategies that can be tailored to individual risk-taking preferences. We can also adjust the risk preference parameter to reflect the general market situation. When in a bull market, we can shift up the market parameter; when the market is sliding, we can tune down the market parameter. And if the market is trading in a bound range, we can set the market parameter between 0 and 1. The ability to change our market risk settings gives us the best returns. If the market is bullish, the weighting-adjusted portfolio insurance strategy can give us the best return among all insurance strategies. On the other hand, when market sentiment is bearish, the traditional portfolio insurance with a low initial market position gives us the best return. Our research also shows that weighting-adjusted portfolio insurance performs poorly when the long bear market rebounds because frequent trading might blur our overall investment strategy and booming trading costs may drag the portfolio’s overall return. The weighting-adjusted portfolio insurance strategy can beat the market in the long-term. Adjusting the portfolio composition on a timely basis can make our strategy execution more accurate. Nevertheless the corresponding trading costs also work against our return. After taking trading cost into consideration, our backward testing shows that portfolios using 3% weighting-adjusted portfolio insurance strategy delivered more satisfactory returns than those with 2%, 4% and 5% adoption rates.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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