Dual Dynamically Adjusted Portfolio Insurance Strategy And Empirical Research

Portfolio insurance strategy is a method of risk management,which mainly uses financial derivatives to reduce investment risk,which provides an effective means for investors to deal with non-distributable risks.The CPPI strategy and the TIPP strategy are the most widely used portfolio insurance strategies in the domestic market.The risk multiplier and the insured amount in the traditional CPPI strategy are set at the beginning of the period based on the investor's risk preference and loss tolerance,and the parameters are fixed throughout the investment period.Such design rules make it impossible for investors to fully capture upward returns in the bull market,and the bear market cannot effectively protect the downside risk.The TIPP strategy has changed the adjustment rules of the insurance bottom line,which is no longer fixed.To some extent,it compensates for the disadvantages of the CPPI strategy in the bear market.However,the TIPP strategy appears to be too conservative,and it is not effective to capture the upward returns of the stock.At present,most of the literature puts the research perspective on a certain parameter of the strategy,such as the risk multiplier m or the value bottom line f.This paper proposes a new research idea,changes the rules of fixed risk multiplier and insured amount in the previous strategy,and simultaneously adjusts the two parameters m and f according to the change of market conditions,that is,on the basis of m adjustment,dynamic adjustment f reaches Better results.This paper firstly adds adjustment factors according to the market conditions,dynamically adjusts the risk multiplier and the insured amount,and proposes a dual dynamic adjustment of the portfolio insurance strategy model.When the stock price rises,the insured amount f does not change,and the risk multiplier is raised with the stock index trend.Leverage the position of risky assets to gain upward returns.When the stock price falls,the risk multiplier is reduced with the trend of the stock index,the leverage is reduced,the risky asset holdings are reduced to mitigate losses,and the insured amount f is increased.The quota protects existing assets and reduces the risk of downside.Such an adjustment method can better capture the upward returns when the bulls are in the long position,and play the capital preservation requirement of the portfolio insurance when the shorts.Secondly,Matlab is used to empirically analyze the domestic stock price to verify the effectiveness of the new strategy model.The results show that the dualdynamic adjusted portfolio insurance strategy can be adjusted according to the dynamic adjustment of the market and investors,and play a better cost-preserving effect and profitability,which is a better strategy.According to the stock market dynamics,the strategy parameters are dynamically adjusted,which improves the capital preservation and profitability of the portfolio insurance strategy,and provides a new perspective for the research of domestic portfolio insurance strategies,providing reference and guidance for investors in the financial market investment operations,and promoting finance.The market and the domestic economy are developing steadily and sustainably.