The Efficacy of CPPI and VBPI Based on Stationary Bootstrap Method

Ze Wei Chen; Jun Chai; Jian Yu Ge

doi:10.4028/www.scientific.net/AMM.687-691.4848

Paper Titles

Study on Evolution Mechanism of Industrial Cluster Based on Brusselator Model
p.4832

Research on HRM under Internet Environment
p.4836

Custom Service Support Management Information System
p.4840

Research on Management System of Coal Mine Equipment Maintenance Based on RCM
p.4844

The Efficacy of CPPI and VBPI Based on Stationary Bootstrap Method
p.4848

Research on the Financial Processes Construction Based on Cloud Computing
p.4853

Forecast and Control for the Amount of Rural Economic Crops
p.4857

Research on the Parallel and Reciprocal Mode of Commercial Operations and Public Service of Digital Cultural Resources
p.4861

The Study on the Integration of GIS and Logistics System
p.4867

HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 687-691The Efficacy of CPPI and VBPI Based on Stationary...

The Efficacy of CPPI and VBPI Based on Stationary Bootstrap Method

Abstract:

This paper presented an overview of the Stationary Bootstrap method of nonparametric methods. Multitudes of re-sampled data were generated to conquer the limitations of historical simulation method.The trends of different indexes based on Stationary Bootstrap Method were constructed to test the performance of VBPI strategy under different market conditions and compare its performance with CPPI strategy.Test of the significant difference of performance between CPPI and VBPI disclosed that with sufficient samples, confidence level of 99%, insured ratio of 99% or 98% and window period equivalent to adjustment duration at 20 days, VBPI strategy outperformed CPPI strategy in various test indicators.

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Applied Mechanics and Materials (Volumes 687-691)

Pages:

4848-4852

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.687-691.4848

Citation:

Cite this paper

Online since:

November 2014

Authors:

Ze Wei Chen, Jun Chai, Jian Yu Ge*

Keywords:

Bootstrap, CPPI, VBPI

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

* - Corresponding Author

References

[1] Balder S, Mahayni A. How good are portfolio insurance strategies. Alternative Investments and Strategies, 2010: 229-256.

DOI: 10.1142/9789814280112_0010

Google Scholar

[2] Black F, Jones R W. Simplifying portfolio insurance. The Journal of Portfolio Management, 1987, 14(1): 48-51.

DOI: 10.3905/jpm.1987.409131

Google Scholar

[3] Dichtl H, Drobetz W, Wambach M. A Bootstrap-Based Comparison of Portfolio Insurance Strategies. Available at SSRN, (2013).

DOI: 10.2139/ssrn.2336191

Google Scholar

[4] Huu Do B. Relative performance of dynamic portfolio insurance strategies: Australian evidence. Accounting & Finance, 2002, 42(3): 279-296.

DOI: 10.1111/1467-629x.00078

Google Scholar

[5] Jiang C, Ma Y, An Y. The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis. International Review of Financial Analysis, 2009, 18(4): 185-197.

DOI: 10.1016/j.irfa.2009.04.001

Google Scholar

[6] Khuman A, Constantinou N. How does CPPI perform against the simplest guarantee strategies. Working Paper, Centre for Computational Finance and Economic Agents (CCFEA), (2009).

Google Scholar

[7] Perold A F. Constant proportion portfolio insurance. Harvard Business School, (1986).

Google Scholar

[8] http: /www. rennes. inra. fr/jma2002/pdf/Bertrand. pdf.

Google Scholar

[9] Politis D N, Romano J P. The stationary bootstrap. Journal of the American Statistical Association, 1994, 89(428): 1303-1313.

DOI: 10.1080/01621459.1994.10476870

Google Scholar

[10] Rubinstein M, Leland H E. Replicating options with positions in stock and cash. Financial Analysts Journal, 1981: 63-72.

DOI: 10.2469/faj.v37.n4.63

Google Scholar