| Summary: | 碩士 === 國立交通大學 === 資訊管理所 === 90 === The idea of portfolio insurance has been widely practiced abroad for years; while it is now gradually accepted over the inland. The critical point of the idea is to make capital allocated in various assets as for better risk management in additions to gain profit when economy is on bull market.
The common strategies shown in dynamic portfolio insurance are "CPPI" and "TIPP", which practice is realized out of its simple calculation and parameters to set. On the contrary, for lacking of regulation to follow, the setting of parameter should attach to the figures of past experience. Besides, it makes use of GA to optimize the "Multiplier" and "Tolerance" considering of transaction cost in order to maximize Sharpe ratio according to investor''s risk management plan.
The following conclusions are summarized from the empirical result. Compared by Sharpe ratio, TIPP is superior to CPPI and CPPI outperform benchmark in either bull market or bear market. As the calculation of Multiplier and Tolerance fail to fix in various situation of market trend and desired floor, the experiment hereby tend to pick a best proper figures given by the previous half year of real market data, and testify the theory works in the later half year with real market practice. It shows that the model have better performance in continuous trend, but become worse than benchmark only when in the upside reversal point.
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