Research On Dynamic Portfolio Insurance Strategies Under The Constraints Of Investors’ Psychology And Market

Portfolio insurance strategies are broadly applied in asset allocation decisions.The main purpose of portfolio insurance is to avoid or hedge risk of asset prices,and to participate in the rising of risky market to grasp the potential opportunities of the asset appreciation under the premise of principal security.As the changes of the market and the changes of the investors’ psychological expectations,to achieve a good investment performance with the guarantee of insurance success,portfolio insurance strategies shall dynamically adjust the corresponding parameters and reflect the investors’ risk tolerance at the same time.On the basis of summarizing the traditional portfolio insurance strategies,this dissertation proposes dynamic portfolio insurance strategies theoretically and practically,trying to provide some beneficial references for asset allocation decisions of investment funds.Under the condition of continuous-time finance,this dissertation theoretically puts forward one dynamic portfolio strategy corresponding to inter-temporal optimal expected utility,by transforming the probability measure of the risky asset process into martingale process and transforming the investor’s individual inter-temporal dynamic portfolio decision problem into a static optimal utility problem,and by means of martingale representation theorem.Considering the leverage trading characteristics of portfolio insurance strategy and the degree of investors’ risk aversion,this dissertation practically puts forward Copula-GARCH-SRM strategies based on Spectral Risk Measures,after the discussions about the effects of financing constraints and the discontinuous-time interval adjustment on the portfolio.Then we take the Copula-GARCH-SRM strategies to conduct some detailed empirical comparison research on Shanghai and Shenzhen stock markets.Empirical conclusions include:The main reason for the failure of insurance is the overlong adjusted cycle and the overlarge risk multipliers chosen by the risk preferring investors in a downward market.The suitable adjusted cycle is one week.In the downward or volatile markets,it is appropriate to take a conservative portfolio strategy,with the previous earnings retained to insurance coverage,and to utilize some financing constraints.In a rising market,it should be appropriate to take above average risk preference strategies,not to retain earnings to insurance coverage,and to take some moderately loose financing constraints.For any adjustment cycle,Copula-GARCH-SRM strategies have effective insurance results and perform better than the parameter-set strategies with constant risk multipliers regardless of the presence or absence of the financing constraints.Copula-GARCH-SRM strategies have the following advantages:On the one hand,the strategies can dynamically adjust risk multipliers to follow the pace of the market more effectively.On the other hand,the strategies can dynamically allocate the weights of risk assets so as to avoid risk and to earn profits.