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應用基因演算法於動態投資組合保險中操作策略的最適化
應用基因演算法於動態投資組合保險中操作策略的最適化
應用基因演算法於動態投資組合保險中操作策略的最適化
Portfolio Insurance
CPPITIPP
MultiplierTolerance
TIPPCPPICPPI
Abstract
The idea of portfolio insurance has been widely practiced abroad for years; while it is
now gradually accepted over the inland. The critical point of the idea is to make capital
allocated in various assets as for better risk management in additions to gain profit when
economy is on bull market.
The common strategies shown in dynamic portfolio insurance are CPPI and TIPP,
which practice is realized out of its simple calculation and parameters to set. On the contrary,
for lacking of regulation to follow, the setting of parameter should attach to the figures of past
experience. Besides, it makes use of GA to optimize the Multiplier and Tolerance
considering of transaction cost in order to maximize Sharpe ratio according to investor's risk
management plan.
The following conclusions are summarized from the empirical result. Compared by
Sharpe ratio, TIPP is superior to CPPI and CPPI outperform benchmark in either bull market
or bear market. As the calculation of Multiplier and Tolerance fail to fix in various situation
of market trend and desired floor, the experiment hereby tend to pick a best proper figures
given by the previous half year of real market data, and testify the theory works in the later
half year with real market practice. It shows that the model have better performance in
continuous trend, but become worse than benchmark only when in the upside reversal point.
Keywords: Genetic Algorithm, Portfolio Insurance, Sharpe Ratio
APC
James lin
................................................................................................................. 1
1.1 ................................................................................................ 1
1.2 ............................................................................................................ 3
1.3 ............................................................................................................ 3
......................................................................................................... 5
2.1 ........................................................................................ 5
2.1.1 ............................................................................. 5
2.1.2 ................................................................................................. 7
2.1.3 ................................................................................... 10
2.2 .................................................................................. 11
2.2.1 CPPI................................................... 12
2.2.2 TIPP ............................................... 13
2.2.3 ............................................... 14
2.2.4 ............................................................... 16
....................................................................................................... 18
3.1 .............................................................................................. 18
3.1.1 ........................................................................... 18
3.1.2 ....................................................................................... 18
3.1.3 ............................................................................................... 18
3.1.4 ............................................................................................... 19
3.2 .......................................................................................................... 19
3.3 .......................................................................................................... 21
3.3.1 ........................................................... 21
3.3.2 ................................................................... 22
3.3.3 ................................................................................................... 23
3.4 .............................................. 25
3.4.1 ........................................................................................................... 25
3.4.2 ................................................................................................... 25
3.4.3 ................................................................................................... 26
....................................................................................................... 27
4.1 CPPI TIPP .................................................................... 27
4.1.1 1996/1/4(5146)1997/12/30(8146)...................................... 27
4.1.2 1997/1/4(6820)1998/12/30(6462)...................................... 29
4.1.3 1998/1/3(8159)1999/12/28(8449)...................................... 30
4.1.4 1999/1/5(6152)2000/12/30(4739)...................................... 31
4.1.5 2000/1/4(8756)2001/12/18(5329)...................................... 33
4.1.6 ........................................................................................................... 34
4.2 TIPP .............................................................. 35
4.2.1 : 1996/7 ~ 1996/12 ..................................................................... 35
4.2.2 : 1997/1 ~ 1997/6 ....................................................................... 36
4.2.3 : 1997/7 ~ 1997/12 ..................................................................... 37
4.2.4 : 1998/1 ~ 1998/6 ....................................................................... 38
4.2.5 : 1998/7 ~ 1998/12 ..................................................................... 38
4.2.6 : 1999/1 ~ 1999/6 ....................................................................... 39
4.2.7 : 1999/7 ~ 1999/12 ..................................................................... 40
4.2.8 : 2000/1 ~ 2000/6 ....................................................................... 41
4.2.9 : 2000/7 ~ 2000/12 ..................................................................... 41
4.2.10 : 2001/1 ~ 2001/6 ..................................................................... 42
4.2.11 : 2001/7 ~ 2001/12 ................................................................... 43
4.2.12 ......................................................................................................... 44
................................................................................................... 47
5.1 ................................................................................................................... 47
5.2 .................................................................................................. 48
..................................................................................................................... 49
1.1.1 19962001 .................................................... 2
2.1.1.1 ................................................................................. 6
2.1.1.2 ..................................................................................... 7
2.1.2.1 ................................................................................. 8
2.1.2.2 ................................................................................. 9
2.1.2.3 ............................................................................. 9
2.1.2.4 ....................................................................................... 10
3.2.1 ...................................................................................................... 19
3.3.1 ...................................................................................................... 21
4.1.1 1996 ~ 1997 TIPP ..................................................................... 28
4.1.2 1996 ~ 1997 CPPI ..................................................................... 28
4.1.3 1997 ~ 1998 TIPP ..................................................................... 29
4.1.4 1997 ~ 1998 CPPI ..................................................................... 30
4.1.5 1998 ~ 1999 TIPP ..................................................................... 30
4.1.6 1998 ~ 1999 CPPI ..................................................................... 31
4.1.7 1999 ~ 2000 TIPP ..................................................................... 32
4.1.8 1999 ~ 2000 CPPI ..................................................................... 32
4.1.9 2000 ~ 2001 TIPP ..................................................................... 33
4.1.10 2000 ~ 2001 CPPI ................................................................... 34
4.2 / .................................................................................. 35
4.2.1 1996/7 ~ 1996/12 ...................................................................... 36
4.2.2 1997/1 ~ 1997/6 ........................................................................ 37
4.2.3 1997/7 ~ 1997/12 ...................................................................... 38
4.2.4 1998/1 ~ 1998/6 ........................................................................ 38
4.2.5 1998/7 ~ 1998/12 ...................................................................... 39
4.2.6 1999/1 ~ 1999/6 ........................................................................ 40
4.2.7 1999/7 ~ 1999/12 ...................................................................... 41
4.2.8 2000/1 ~ 2000/6 ........................................................................ 41
4.2.9 2000/7 ~ 2000/12 ...................................................................... 42
4.2.10 2001/1 ~ 2001/6 ...................................................................... 43
4.2.11 2001/7 ~ 2001/12 .................................................................... 44
3.3.3.1 ....................................................................... 24
4.1.1 1996 ~ 1997 TIPP ..................................................................... 27
4.1.2 1996 ~ 1997 CPPI ..................................................................... 28
4.1.3 1997 ~ 1998 TIPP ..................................................................... 29
4.1.4 1997 ~ 1998 CPPI ..................................................................... 29
4.1.5 1998 ~ 1999 TIPP ..................................................................... 30
4.1.6 1998 ~ 1999 CPPI ..................................................................... 31
4.1.7 1999 ~ 2000 TIPP ..................................................................... 31
4.1.8 1999 ~ 2000 CPPI ..................................................................... 32
4.1.9 2000 ~ 2001 TIPP ..................................................................... 33
4.1.10 2000 ~ 2001 CPPI ................................................................... 33
4.1.11 Sharpe Ratio Return ................................................... 34
4.2.1 1996/7 ~ 1996/12 ...................................................................... 35
4.2.2 1997/1 ~ 1997/6 ....................................................................... 36
4.2.3 1997/7 ~ 1997/12 ..................................................................... 37
4.2.4 1998/1 ~ 1998/6 ....................................................................... 38
4.2.5 1998/7 ~ 1998/12 ..................................................................... 38
4.2.6 1999/1 ~ 1999/6 ....................................................................... 39
4.2.7 1999/7 ~ 1999/12 ..................................................................... 40
4.2.8 2000/1 ~ 2000/6 ....................................................................... 41
4.2.9 2000/7 ~ 2000/12 ..................................................................... 41
4.2.10 2001/1 ~ 2001/6 ..................................................................... 42
4.2.11 2001/7 ~ 2001/12 ................................................................... 43
4.2.12 1996/7 ~ 2001/12 I............................................. 44
4.2.13 1996/7 ~ 2001/12 II ....................................... 44
4.2.14 1996/7 ~ 2001/12 III...................................... 44
4.2.15 1996/7 ~ 2001/12 VI...................................... 45
1.1
WTO
2000211
10129280
2001
911924353481
65%71%
(Portfolio Insurance)
1.1.1 19962001
19871019
Rubinstein (1988)
Rubinstein
Active Asset
(Reserved Asset)
1.2
Constant
Portion Portfolio InsuranceCPPITime Invariant
Portfolio ProtectionTIPP
Genetic
Algorithm Multiplier m
Tolerancet
(Sharpe Ratio)
1.3
3
1.
2.
3.
4.
CPPITIPP
MultiplierTolerance
5.
2.1
John Holland [7]1975Adaptation in Natural and Artificial
Systems
(Parents)
(Offspring)
(Evolution)(Selection)
(Reproduction)
(Crossover)(Mutation)
(Fitness Function)
2.1.1
[10]2.1.1Pseudo Code
Procedure GA
Begin
g = 0;
Initial population P(g)
Fitness P(g);
2.1.1.1
(Selection)(Operators)(Population)(Evaluation)[10]
[14]
1
2
3
4
524
2.1.1.2
2.1.2
(Reproduction)(Crossover)(Mutation)
1
homogenesis
chromosome
Roulette Wheel
(One-point Crossover)
A 00 000
B 11 111
A 00 111
B 11 000
2.1.2.1
8
(Two-point Crossover)
A 0 0 0 0 0
B 1 1 1 1 1
A 0 0 1 1 0
B 1 1 0 0 1
2.1.2.2
(Uniform Crossover)
(Template)0
1
A 00000
B 11111
Template:
00101
A 00101
B 11010
2.1.2.3
3
9
A 00000
A 00100
2.1.2.4
2.1.3
1.
2.
3.
4.
10
5.
6.
1.
2.
3.
2.2
11
TIPP
CPPITIPP
2.2.1 CPPI
Black, Jones Perold (1987)[9]
(Constant Proportion Portfolio InsuranceCPPI)
E = m (A F)
E(Exposure)
mMultiplier
AAsset
FFloor
(Floor)(Exposure)(
Asset Floor)m
CPPI
12
CPPI
1.
2.CPPI
3.CPPI
2.2.2 TIPP
CPPI
Estep & Krizman(1988) Time-Invariant Portfolio
ProtectionTIPPCPPI
CPPI
TIPP At *
Ft
E = m ( At Ft )
Ft +1 = max( Ft , At )
E (Exposure)
m Multiplier
At Asset
13
F t Floor
TIPP
2.2.3
14
1. Time discipline
3. Lag discipline
4.
5.
MCPPITIPP
M22
M21.962.04
15
Black & Jones(1987)CPPIEstep & Kritzman1988TIPP
2.2.4
[14](OBPI)CPPITIPP
1.CPPI
2.3.
4.TIPP
5.CPPI
(1993)[20]
CPPIOBPITIPP
76 82
3
TIPP
(1995)[19]7281
(CPPITIPPOBPI)
16
1.OBPI
TIPP
2.
3.
4.
5.
[18]TIPP1.
2.
17
199614200112181615
CPPI
TIPP
Multiplier
Tolerance
3.1
3.1.1
3.1.2
3.1.3
7
7
18
3.1.4
3.2
CPPITIPP
3.2.1
1.
19962001
2.
19
3.
CPPITIPP
4.
5.
6.
7.
20
3.3
//
mt
mt
3.3.1
3.3.1
CPPITIPP
1.
CPPITIPP
2.
21
3.
4.
5.
1-4
6.
CPPITIPP
7.
8.
//
9.
10.
11. //
7030
100
0
12. CPPITIPPMultiplier
13.
3.3.2
Top-Down
22
Bottom-Up
1.
2.
BloombergReuters
3.3.3
Sharpe RatioSR
William A. Sharpe
(1966)
23
(-)/
SR =
(R p R f )
p
Rp
R f
p
p
R p > R f Rp < R f
SR0
Rp R f p Rp R f
p
XY
3%
3.3.3.1
24
6%
5%
( 6 3)
= 0.6
5
9%
15%
( 9 3)
= 0.4
15
Y
X
3.4
Multiplier
Tolerance
3.4.1
MultiplierTolerance
Multiplier {1,1.1,1.2,...,9.9,10}
Tolerance {1.0%, 1.01%, 1.02%,..., 9.99%, 10%}
3.4.2
1. Population Size
500
25
2. Crossover Rate
0.5
3. Mutation Rate0.001
4.
3000
3.4.3
(-) /
26
MultiplierTolerance
BenchmarkCPPITIPP
4.1.1 1996/1/4(5146)1997/12/30(8146)
Strategy
TIPP
Floor
70%
80%
90%
27
Strategy
CPPI
Floor
70%
80%
90%
28
4.1.2 1997/1/4(6820)1998/12/30(6462)
Strategy
TIPP
Floor
70%
80%
90%
Strategy
CPPI
Floor
70%
80%
90%
29
4.1.3 1998/1/3(8159)1999/12/28(8449)
Strategy
TIPP
Floor
70%
80%
90%
Strategy
CPPI
Floor
70%
80%
90%
4.1.4 1999/1/5(6152)2000/12/30(4739)
Strategy
TIPP
Floor
70%
80%
90%
31
Strategy
CPPI
Floor
70%
80%
90%
32
4.1.5 2000/1/4(8756)2001/12/18(5329)
Strategy
CPPI
Floor
70%
80%
90%
33
4.1.6
TIPP
CPPI
TIPP
CPPI
TIPP
CPPIFloor70Sharpe Ratio
BenchmarkFloor90Benchmark
34
4.2 TIPP
TIPP
MultiplierTolerance
(Trial and Error)
mt
4.2 /
1996/12001/1211
SRROR
SR (SR SR) /SR
ROR ROR ROR
Sharpe Ratio
ROR
1996/7/2(6498) 1996/12/31(6934)
0.469938 13.75%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
1.9
4.74%
0.473187
0.69%
10.68%
-3.07%
80%
8.7
5.78%
0.518222
10.27%
14.71%
0.96%
90%
2.6
7.00%
0.521081
10.88%
8.93%
-4.82%
36
37
70%
80%
90%
1.0
5.3
10.0
3.17%
1.13%
5.32%
-1.628575
-2.547147
-2.615354
-0.24%
-56.78%
-60.97%
-6.47%
-24.52%
-10.01%
30.72%
12.67%
27.18%
39
Sharpe Ratio
ROR
1999/7/5(8572) 1999/12/28(8449)
-0.170570
0.22%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
3.5
5.52%
-0.647142 -279.40%
-8.34%
-8.56%
80%
3.5
5.56%
-0.810535 -375.19%
-5.54%
-5.76%
90%
3.6
3.32%
-0.927491 -443.76%
-0.85%
-1.07%
40
ROR
2000/7/2(8297) 2000/12/30(4739)
Floor
Multiplier Tolerance Sharpe Ratio SR
70%
1.3
6.42%
-3.105451
-9.92%
80%
5.1
5.93%
-2.581995
8.61%
90%
10.0
3.84%
-1.988632
29.61%
-2.825308 -107.30%
ROR
ROR
9.92% 117.21%
-8.61% 98.69%
-29.61% 77.68%
Sharpe Ratio
ROR
2001/1/2(4935) 2001/6/29(4883)
-0.068929
1.92%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
5.2
7.00%
-0.003317
95.19%
3.90%
1.98%
80%
10
5.02%
0.148692
315.72%
4.84%
2.92%
90%
10
1.01%
0.331610
581.09%
4.39%
2.47%
42
43
4.2.12
TIPP
1996/7~1996/12
1997/1~1997/6
1997/7~1997/12
1998/1~1998/6
1998/7~1998/12
1999/1~1999/6
1999/7~1999/12
2000/1~2000/6
2000/7~2000/12
2001/1~2001/6
2001/7~2001/12
1996/7~1996/12
1997/1~1997/6
1997/7~1997/12
1998/1~1998/6
1998/7~1998/12
1999/1~1999/6
1999/7~1999/12
2000/1~2000/6
2000/7~2000/12
2001/1~2001/6
2001/7~2001/12
1996/7~1996/12
1997/1~1997/6
1997/7~1997/12
1998/1~1998/6
1998/7~1998/12
1999/1~1999/6
1999/7~1999/12
2000/1~2000/6
2000/7~2000/12
2001/1~2001/6
2001/7~2001/12
TIPP
Floor
90%
SR Sharpe Ratio SR ROR ROR ROR
0.469938
0.521081
10.88% 13.75% 8.93%
-4.82%
2.596877
2.712360
4.45% 59.41% 20.93% -38.48%
-0.726628 -0.802451 -10.43% -14.40% 1.31% 15.71%
-0.832919 -0.309733
62.81% -14.17% 2.22% 16.39%
-1.624713 -2.615354 -60.97% -37.19% -10.01% 27.18%
2.745229
2.878217
4.84% 74.56% 12.31% -62.25%
-0.170570 -0.927491 -443.76%
0.22% -0.85%
-1.07%
-0.400438 -0.221906
44.58%
-7.70% 3.32% 11.02%
-2.825308 -1.988632
29.61% -107.30% -29.61% 77.68%
-0.068929
0.331610 581.09%
1.92% 4.39%
2.47%
0.663951
0.849379
27.93% 27.96% 7.07% -20.89%
-2.94% 20.01% 22.95%
M4,T4
Floor
70%
80%
90%
1.
ROR ROR
0.4840
-107.30%
74.56%
-2.94%
-0.49%
0.2624
-8.34%
75.53%
135.65%
22.61%
0.3710
-54.40%
58.93%
29.17%
4.86%
0.2167
-24.52%
60.03%
60.8%
10.13%
0.2523
-32.43%
53.61%
55.33%
9.22%
0.1303
-29.61%
20.93%
20.01%
3.34%
0.1278
-12.67%
29.83%
55.18%
9.20%
2.
3.
16712
3
8
45
4.
(7)(10)SR
SR
46
Multiplier
Tolerance
5.1
1.
TIPP
CPPICPPI
2.
3.
CPPITIPP
4.
MultiplierTolerance
MultiplierTolerance
5.
6.
7.
MultiplierTolerance
MultiplierTolerance
47
5.2
1.
MT2
2.
3.
17
48
1.
Black, Fisher and Rober Jones, Simplifying Portfolio Insurance, The Journal of
Portfolio Management, Fall 1987,pp.48-51.
2.
Black, Fisher and Perold, Andre F., Theory of Constant Proportion Portfolio Insurance,
Journal of Economic Dynamics & Control, Jul/Oct 1992,pp.403-426.
3.
4.
Estep, Tony and Mark Kritzman, 1988, TIPP: Insurance without Complexity, Journal
of Portfolio Management 14, summer p.38-42.
5.
6.
7.
8.
9.
Lee, Cheng H. , Finnerty, Joseph E. , Wort, Donald H. :Security Analysis and Portfolio
Management, Editura Scott, Foresman and Little, 1990, cota ASE:113777
10. Perd, Andre F. and William F. Sharpe, Dynamic Strategies for Asset Allocation,
Financial Analysts Journal, Jan-Feb 1988
11. Rubinstein, Mark, Portfolio Insurance and the Market Crash, Financial Analysts
Journal, Jan/Feb 1988, pp.38-47.
12. Stephen M. Omohundro. Geometric learning algorithms. Technical Report
TR-89-041,International Computer Science Institute, 1989
49
13.
1996
14.
1991
15.
1999
16.
2002
17.
2000
18.
1998
19.
1995
20.
1993
50