本研究探討三種複製性投資組合保險策略,在一般市場及崩盤市場情境下的績效表現;這三種保險策略分別為固定要保額度策略,固定比率額度策略,及混合要保額度策略;模擬研究結果顯示,在一般市場情境下,固定要保額度策略表現較佳;然而,在崩盤市場情境下,這三種保險策略均無法提供保險功能;整體來看,在崩盤市場情境下,固定比率額度策略與混合要保額度策略表現較佳。 This paper investigates the performance of three synthetic-put portfolio insurance strategies under both normal market conditions and crash conditions. The three strategies are the fixed floor strategy, the fixed percentage floor strategy, and the mixed floor strategy. The results show that the fixed floor strategy performs best among the three strategies under normal market conditions. However, the results change dramatically under crash conditions. Overall, both the mixed floor strategy and fixed percentage floor strategy perform better than the fixed floor strategy under crash conditions. These results are important to portfolio managers who might encounter a market crash over the life of their insurance plans.