A Study of Dynamic Strategies on Investment Portfolio-A Case in Taiwan, Australia and United States Stock Indices
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === In 2011, Europe public debt crisis threatens the world economy. Related news are unpredictable; analysis methods seem to lose their effects. Investors face serious loss. This research paper will analyze dynamic strategies (Constant proportion portfolio insuran...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66874908791660619132 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === In 2011, Europe public debt crisis threatens the world economy. Related news are unpredictable; analysis methods seem to lose their effects. Investors face serious loss. This research paper will analyze dynamic strategies (Constant proportion portfolio insurance and Constant mix) using data from 2000 to 2011.
Risk-free assets are mainly invested in U.S. Treasury securities while risky assets are invested in stock markets indices in Taiwan, Australia, and U.S. It is found that adjusting investing proportion (ratio) can reduce the market’s negative effects on investment portfolio. CPPI will be proved to be the best strategy in the study period.
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