Portfolio Insurance in the Long Term Asset Management

投資組合保險在長期資產管理中的應用

李懷義(Huai-I Lee) ； 何怡滿(Emily Ho) ； 謝宗佑(Tzung-Yuan Hsieh) ； 許溪南(Hsi-Nan Hsu)

《財務金融學刊》 21卷3期 (2013/09) Pp. 97-123

https://doi.org/10.6545/JFS.2013.21(3).4

摘要

本文證明以選擇權為基礎的投資組合保險對長期資產管理無效，並建議改用固定比例投資組合保險策略。同時，以損失趨避理論為基礎，提出權變制輪式要保額度投資組合保險策略。模擬與實證的結果顯示所建議的保險策略在長期資產管理上的表現要優於固定比例投資組合保險和滾動式固定比例投資組合保險策略。

關鍵字

投資組合保險 ； 長期資產管理 ； 損失趨避 ； 風險趨避 ； 權變制輪式要保額度投資組合保險策略

並列摘要

Portfolio insurance is widely applied in asset management; however, the empirical evidence demonstrates that the performance of current portfolio insurance strategies is not as useful as expected for the long-term asset management purpose. This paper proves the failure of the option based portfolio insurance (OBPI) strategy as the long-term asset management purpose, and proposes a contingent ratcheted-floor variable proportion portfolio insurance (CRF-VPPI) strategy, which is based on the implication of loss aversion, as a competing strategy for the purpose of long-term asset management. Monte Carlo simulations and empirical analysis demonstrates that the proposed CRF-VPPI outperforms the CPPI and the rolling-CPPI.

並列關鍵字

Portfolio insurance ； long-term asset management ； loss aversion ； risk

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