Three-fund Separation Constant Proportion Portfolio Insurance Strategy

主讲人: 陈泽


主持人: TBD

Specific purpose guarantee funds (SPGFs) such as pension guarantee funds are becoming much popular among loss averse investors with common peculiar investment purpose, but receive few academic attention regarding to its investment strategy, hedging technique and performance. In this paper we propose a more practical constant proportion port-folio insurance (CPPI) strategy based on the well-known three-fund separation theorem.The proposed three-fund separation CPPI (hereafter 3F-CPPI) strategy optimally allocates its assets in three funds: a risk-free fund, a stock-index fund and a purpose-related stock fund, to maximize the loss averse investor's utility and to control the downside risk as well. Closed-form solutions of the optimal allocations of 3F-CPPI and its outcome distribution have been derived first under the continuous time case, followed by an extensive Monte Carlo simulation under the discrete time case to compare 3F-CPPI with other benchmark strategies such as CPPI. Our simulation results show that the proposed 3F-CPPI dominates other benchmark strategies in almost all the aspects such as the mean return, downside risk control and loss averse utility.

时间: 2019-01-18(Friday)10:10-11:40
地点: 经济楼N302
主办单位: 厦门大学经济学院、王亚南经济研究院
承办单位: 厦门大学经济学院金融系
类型: 独立讲座


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