資産組合保險效果之研究－台灣股市崩盤時期之實證

A Research on the Performance of Portfolio Insurance-The Empirical Study of Taiwan Stock Crashes in 1990

楊澤泉(T. C. Yang) ； 劉璁霖(S. L. Liu)

《管理評論》 16卷1期 (1997/01) Pp. 67-83

https://doi.org/10.6656/MR.1997.16.1.CHI.67

摘要

資產組合保險為近年來極受重視的投資工具，它不但能使投資人同樣地享受股價上漲的利益，尚能切斷投資人所面對的下方風險；也就是說，它除了能保障投資人的資產價值有一定之額度外，同時又不失風險性資產的參予能力。本論文為了研究資產組合保險如何保障其資產，因此以股票市場的崩盤時期來做實證研究，取民國79年2月至10月台灣股市崩盤時的資料來探討之。
採用最受矚目的固定比例策略與複製性保護賣權策略，用來探討這些策略應用在台灣股票市場的保險績效。並考慮不同調整法則、不同要保額度、與交易成本的有無，來判斷此些變數對其績效的影響。實證結果顯示，固定比例策略均優於複製性保護賣權策略；但兩策略之績效均優於未採保險策略者。另外，本研究亦顯示當股市崩盤時，要保額度設定之不同為影響保險績效的主要因素。故投資人可考量本身的風險偏好程度，針對此一因素加以設計。

關鍵字

資產組合保險 ； 固定比例策略 ； 複製性保護賣權 ； 股市崩盤

並列摘要

Portfolio insurance is a highly valued investment tool recently. Investors who use it not only can enjoy the benefits when the stock index rises, but also can protect assets from losses. This thesis conducts a research on the ways portfolio insurance safeguards assets. Stock index during the stock crash in Taiwan (i.e. Feb. 1990-Oct. 1990) is used as raw data for analysis.
This thesis employs the constant proportion portfolio insurance (CPPI) and synthetic protective put (SPP) to investigate insurance performance of Taiwan. At the same time, the effects of adjustment rules, floor levels, and transaction costs on insurance performance are also considered.
The results show that CPPI is a better tool than the SPP, but they both are better then the strategy without insurance. In addition, this thesis also displays that different floor levels are the key factor affecting insurance performance.

並列關鍵字

Portfolio insurance ； the constant proportion portfolio insurance ； synthetic protective put ； the market crash