A new choice of dynamic asset management: The variable proportion portfolio insurance

Huai I. Lee, Min Hsien Chiang, Hsinan Hsu

研究成果: Article同行評審

12 引文 斯高帕斯(Scopus)

摘要

The constant proportion portfolio insurance (CPPI) achieves the advantage of simplicity due to its constant multiple. However, a dynamic multiple could improve the effectiveness of portfolio management. In this article, we provide a complete and detailed examination of the mechanism of variable proportion portfolio insurance (VPPI) strategy. The multiple of the VPPI states that when the stock price goes up, the multiple gets larger accordingly and when the stock price goes down, the multiple gets smaller. A portfolio insurance strategy with this discipline could yield better performance. Based on this principle, we recommend an exponential proportion portfolio insurance (EPPI). In addition, we also propose a new performance measure for portfolio insurance. Compared with the CPPI, simulation and empirical evidence support that the EPPI works better in both upside capture and downside protection, implying that the EPPI could be an effective tool for asset management.

原文English
頁(從 - 到)2135-2146
頁數12
期刊Applied Economics
40
發行號16
DOIs
出版狀態Published - 2008 8月

All Science Journal Classification (ASJC) codes

  • 經濟學與計量經濟學

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