Portfolio Insurance Adjustment Strategy Based On Fractal Market

Portfolio insurance strategy can avoid systemic risk.It keeps the value-added potential brought by the rising price while locking the downside risk.The researches of domestic and foreign scholars strive to combine the actual situation of the market to make the portfolio insurance strategy more effective.With the rapid development of modern financial market theory,fractal market hypothesis based on chaos and fractal theory provides a new way to describe the real financial market.The paper firstly studies the portfolio insurance strategy from the perspective of fractal market.It concretely analyses the fractal characteristics of China's stock market.Based on the fact that China's stock market is fractal market and the price sequence satisfies the fractional Brownian motion,the paper tries to optimize the dynamic OBPI strategy in portfolio insurance strategy by using the option pricing formula under fractional Brownian motion.The paper makes empirical analysis on the data of Shanghai and Shenzhen 300 Index from 2006 to 2018.The empirical results show that the fractal OBPI strategy can basically achieve the pre-set insurance goal in each sample interval,and the deviations can be negligible.On the whole,the fractal OBPI strategy is relatively more suitable to the actual situation and can achieve better performance.With f = 90% and 95%,the fractal OBPI strategy is significantly better than the B-S OBPI strategy in terms of the number of dominant periods and annual returns;with f= 100%,the fractal OBPI strategy is not significantly superior.In the way of strategy adjustment,the gap adjustment method is universal.It is better than the day-to-day adjustment method on the whole.It can reduce transaction costs and achieve higher end-of-term asset value in most cases.The empirical researches in this paper can play a role of reference and guidance for further improving the portfolio insurance strategy.