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政大機構典藏 > 商學院 > 財務管理學系 > 國科會研究計畫 > Item 140.119/69769

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/69769

Title:	複製性投資組合保險策略績效之研究：蒙地卡羅模擬法
Other Titles:	Performance of Synthetic Portfolio Insurance Strategies: A Monte Carlo Investigation.
Authors:	徐燕山
Contributors:	財務管理學系
Keywords:	投資組合保險;固定要保額度策略;固定比率額度策略;混合要保額度策略 Portfolio insurance;Fixed floor strategy;Percentage floor strategy;Mixed floor strategy
Date:	1996
Issue Date:	2014-09-10 17:47:42 (UTC+8)
Abstract:	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.
Relation:	行政院國家科學委員會計畫編號NSC85-2416-H004-028
Data Type:	report
Appears in Collections:	[財務管理學系] 國科會研究計畫

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