Apply Genetic Model to Strategy Operation of Dynamic

Portfolio Insurance

CPPITIPP

MultiplierTolerance

TIPPCPPICPPI

Apply Genetic Model to Strategy Operation of Dynamic Portfolio Insurance

Student: Cheng-Kuo Huang

Advisor: Dr. An-Pin Chen

Institute of Information Management

National Chiao Tung University

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

You complete me!


................................................................................................................. 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);

While (termination criterion not reach)

g=g+1
Select P(g) from P(g-1);
Crossover P(g);
Mutate P(g);
Fitness P(t);
End.

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

(Buy and Hold);(Constant- mix)

CPPI

TIPP
CPPITIPP

2.2.1 CPPI
Black, Jones Perold (1987)[9]
(Constant Proportion Portfolio InsuranceCPPI)

Active Asset(Reserved Asset)

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

Bookstaber and Langsam (1988)

Brennan and Schwartz (1988)
Estep & Kritzman TIPP
TIPP

2.2.3

14

1. Time discipline

2. Market move 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 CPPI TIPP

19961200112
CPPITIPP
MultiplierToleranceBenchmark
Sharpe RatioROR(Rate of Return)

4.1.1 1996/1/4(5146)1997/12/30(8146)

Strategy
TIPP
Floor
70%
80%
90%

4.1.1 1996 ~ 1997 TIPP

Sharpe Ratio
ROR
0.863275
25.70%
Multiplier
Tolerance
Sharpe Ratio
ROR
2.9
7.00%
0.984734
21.70%
7.9
4.71%
1.076001
26.39%
3.8
5.82%
1.096971
13.12%

27

 4.1.1 1996 ~ 1997 TIPP

Strategy
CPPI
Floor
70%
80%
90%

4.1.2 1996 ~ 1997 CPPI

Sharpe Ratio
ROR
0.863275
25.70%
Multiplier
Tolerance
Sharpe Ratio
ROR
4.5
5.79%
0.880237
26.45%
8.4
5.77%
0.890155
26.67%
1.0
6.40%
0.960219
8.00%

4.1.2 1996 ~ 1997 CPPI

28

4.1.2 1997/1/4(6820)1998/12/30(6462)

Strategy
TIPP
Floor
70%
80%
90%

4.1.3 1997 ~ 1998 TIPP

Sharpe Ratio
ROR
-0.179957
0.43%
Multiplier
Tolerance
Sharpe Ratio
ROR
3.5
6.94%
0.198573
8.92%
6.0
3.53%
0.572194
13.11%
6.0
2.09%
0.740914
10.70%

4.1.3 1997 ~ 1998 TIPP

Strategy
CPPI
Floor
70%
80%
90%

4.1.4 1997 ~ 1998 CPPI

Sharpe Ratio
ROR
-0.179957
0.43%
Multiplier
Tolerance
Sharpe Ratio
ROR
1.0
6.06%
-0.190582
4.44%
5.0
5.65%
-0.182433
1.62%
1.0
6.28%
-0.053432
5.87%

29

 4.1.4 1997 ~ 1998 CPPI

4.1.3 1998/1/3(8159)1999/12/28(8449)

Strategy
TIPP
Floor
70%
80%
90%

4.1.5 1998 ~ 1999 TIPP

Sharpe Ratio
ROR
0.011974
5.31%
Multiplier
Tolerance
Sharpe Ratio
ROR
1.0
3.72%
0.016052
5.10%
1.0
4.21%
0.039744
5.17%
1.0
6.65%
0.162446
5.41%

4.1.5 1998 ~ 1999 TIPP

30

Strategy
CPPI
Floor
70%
80%
90%

4.1.6 1998 ~ 1999 CPPI

Sharpe Ratio
ROR
0.0119704
5.31%
Multiplier
Tolerance
Sharpe Ratio
ROR
1.0
5.72%
-0.015581
4.89%
1.0
3.93%
0.000984
5.00%
1.0
6.65%
0.162446
5.41%

4.1.6 1998 ~ 1999 CPPI

4.1.4 1999/1/5(6152)2000/12/30(4739)

Strategy
TIPP
Floor
70%
80%
90%

4.1.7 1999 ~ 2000 TIPP

Sharpe Ratio
ROR
-0.437012
-8.96%
Multiplier Tolerance
Sharpe Ratio
ROR
8.3
3.89%
0.359891
13.23%
5.8
5.36%
0.470351
12.86%
10.0
5.73%
0.768553
12.10%

31

 4.1.7 1999 ~ 2000 TIPP

Strategy
CPPI
Floor
70%
80%
90%

4.1.8 1999 ~ 2000 CPPI

Sharpe Ratio
ROR
-0.437012
-8.96%
Multiplier
Tolerance
Sharpe Ratio
ROR
2.7
6.48%
-0.287954
-3.04%
3.5
6.97%
-0.209798
-0.05%
10.0
4.10%
-0.056247
3.51%

4.1.8 1999 ~ 2000 CPPI

32

4.1.5 2000/1/4(8756)2001/12/18(5329)

4.1.9 2000 ~ 2001 TIPP

Strategy
Sharpe Ratio
ROR
TIPP
-0.780321
-22.20%
Floor
Multiplier Tolerance
Sharpe Ratio
ROR
70%
10.0
5.74%
-0.510568
-5.48%
80%
10.0
3.07%
-0.232650
1.21%
90%
10.0
1.54%
0.427104
6.63%

4.1.9 2000 ~ 2001 TIPP

Strategy
CPPI
Floor
70%
80%
90%

4.1.10 2000 ~ 2001 CPPI

Sharpe Ratio
ROR
-0.780321
-22.20%
Multiplier Tolerance
Sharpe Ratio
ROR
5.5
5.88%
-0.840046
-12.77%
10.0
5.92%
-0.539452
-6.14%
10.0
2.88%
-0.311729
-0.27%

33

 4.1.10 2000 ~ 2001 CPPI

4.1.6

4.1.11 Sharpe RatioReturn

Outperform Benchmark

Sharpe Ratio
Return
CPPI

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

4.2.1 : 1996/7 ~ 1996/12

1996/1 ~ 1996/6MultiplierTolerance
1996/7 ~ 1996/12
4.2.1 1996/7 ~ 1996/12
35


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%

4.2.1 1996/7 ~ 1996/12

4.2.2 : 1997/1 ~ 1997/6

1996/7 ~ 1996/12MultiplierTolerance
1997/1 ~ 1997/6
4.2.2 1997/1 ~ 1997/6

Sharpe Ratio ROR

1997/1/4(6820) 1997/6/30(9093)
2.596877 59.41%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
4.5
4.74%
2.614873
0.69%
47.71% -11.70%
80%
8.0
4.74%
2.614873
0.69%
60.03%
0.62%
90%
2.7
7.00%
2.712360
4.45%
20.93% -38.48%

36

 4.2.2 1997/1 ~ 1997/6

4.2.3 : 1997/7 ~ 1997/12

1997/1 ~ 1997/6MultiplierTolerance
1997/7 ~ 1997/12
4.2.3 1997/7 ~ 1997/12

Sharpe Ratio ROR

1997/7/2(8997) 1997/12/31(8187)
-0.726628 -14.40%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
1.8
6.71%
-0.847299
-16.61%
-4.15% 10.25%
80%
2.7
6.80%
-0.859634
-18.30%
0.57% 14.97%
90%
3.5
7.00%
-0.802451
-10.43%
1.31% 15.71%

37

 4.2.3 1997/7 ~ 1997/12

4.2.4 : 1998/1 ~ 1998/6
1997/7 ~ 1997/12MultiplierTolerance
1998/1 ~ 1998/6
4.2.4 1998/1 ~ 1998/6

Sharpe Ratio ROR

1998/1/3(8159) 1998/6/30(7549)
-0.832919 -14.17%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
1.0
4.45%
-0.712191
14.49%
1.05% 15.22%
80%
1.0
6.86%
-0.661538
20.58%
2.82% 16.99%
90%
10
4.26%
-0.309733
62.81%
2.22% 16.39%

4.2.4 1998/1 ~ 1998/6

4.2.5 : 1998/7 ~ 1998/12

1998/1 ~ 1998/6MultiplierTolerance
1998/7 ~ 1998/12
4.2.5 1998/7 ~ 1998/12

Sharpe Ratio ROR

1998/7/2(7817) 1998/12/30(6418)
-1.624713 -37.19%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
38

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%

4.2.5 1998/7 ~ 1998/12

4.2.6 : 1999/1 ~ 1999/6

1998/7 ~ 1998/12MultiplierTolerance
1999/1 ~ 1999/6
4.2.6 1999/1 ~ 1999/6

Sharpe Ratio ROR

1999/1/5(6152) 1999/6/30(8467)
2.745229 74.56%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
10
3.47%
2.729113
-0.59%
75.53%
0.97%
80%
1.1
6.38%
2.803338
2.12%
20.35% -54.21%
90%
1.0
3.17%
2.878217
4.84%
12.31% -62.25%

39

 4.2.6 1999/1 ~ 1999/6

4.2.7 : 1999/7 ~ 1999/12

1999/1 ~ 1999/6MultiplierTolerance
1999/7 ~ 1999/12
4.2.7 1999/7 ~ 1999/12

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

 4.2.7 1999/7 ~ 1999/12

4.2.8 : 2000/1 ~ 2000/6

1999/7 ~ 1999/12MultiplierTolerance
2000/1 ~ 2000/6
4.2.8 2000/1 ~ 2000/6

Sharpe Ratio ROR

2000/1/4(8756) 2000/6/30(8265)
-0.400438
-7.70%
SR
Floor Multiplier Tolerance Sharpe Ratio
ROR ROR
70%
9.2
3.85%
-0.383295
4.28%
-7.25%
0.45%
80%
1.0
6.55%
-0.273747
31.64%
3.30% 11.00%
90%
1.0
6.55%
-0.221906
44.58%
3.32% 11.02%

4.2.8 2000/1 ~ 2000/6

4.2.9 : 2000/7 ~ 2000/12

2000/1 ~ 2000/6MultiplierTolerance
2000/7 ~ 2000/12

4.2.9 2000/7 ~ 2000/12

Sharpe Ratio
41

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%

4.2.9 2000/7 ~ 2000/12

4.2.10 : 2001/1 ~ 2001/6

2000/7 ~ 2000/12MultiplierTolerance
2001/1 ~ 2001/6
4.2.10 2001/1 ~ 2001/6

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

 4.2.10 2001/1 ~ 2001/6

4.2.11 : 2001/7 ~ 2001/12

2001/1 ~ 2001/6MultiplierTolerance
2001/7 ~ 2001/12
4.2.11 2001/7 ~ 2001/12

Sharpe Ratio ROR

2001/7/2(4887) 2001/12/18(5329)
0.663951 27.96%
ROR
Floor
Multiplier Tolerance Sharpe Ratio SR
ROR
70%
3.4
6.42%
0.366263
-44.84%
13.07% -14.89%
80%
5.7
6.42%
-0.610180 -191.90%
-7.15% -35.11%
90%
1.0
6.92%
0.849379
27.93%
7.07% -20.89%

43

 4.2.11 2001/7 ~ 2001/12

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

4.2.12 1996/7 ~ 2001/12 I

TIPP
Floor
70%
SR Sharpe Ratio SR ROR ROR ROR
0.469938
0.473187
0.69% 13.75% 10.68%
-3.07%
2.596877
2.614873
0.69% 59.41% 47.71% -11.70%
-0.726628 -0.847299 -16.61% -14.40% -4.15% 10.25%
-0.832919 -0.712191
14.49% -14.17% 1.05% 15.22%
-1.624713 -1.628575
-0.24% -37.19% -6.47% 30.72%
2.745229
2.729113
-0.59% 74.56% 75.53%
0.97%
-0.170570 -0.647142 -279.40%
0.22% -8.34%
-8.56%
-0.400438 -0.383295
4.28% -7.70% -7.25%
0.45%
-2.825308 -3.105451
-9.92% -107.30% 9.92% 117.21%
-0.068929 -0.003317
95.19%
1.92% 3.90%
1.98%
0.663951
0.366263 -44.84% 27.96% 13.07% -14.89%
-2.94% 135.65% 138.58%

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

4.2.13 1996/7 ~ 2001/12 II

TIPP
Floor
80%
SR Sharpe Ratio SR ROR ROR ROR
0.469938
0.518222
10.27% 13.75% 14.71%
0.96%
2.596877
2.614873
0.69% 59.41% 60.03%
0.62%
-0.726628 -0.859634 -18.30% -14.40% 0.57% 14.97%
-0.832919 -0.661538
20.58% -14.17% 2.82% 16.99%
-1.624713 -2.547147 -56.78% -37.19% -24.52% 12.67%
2.745229
2.803338
2.12% 74.56% 20.35% -54.21%
-0.170570 -0.810535 -375.19%
0.22% -5.54%
-5.76%
-0.400438 -0.273747
31.64%
-7.70% 3.30% 11.00%
-2.825308 -2.581995
8.61% -107.30% -8.61% 98.69%
-0.068929
0.148692 315.72%
1.92% 4.84%
2.92%
0.663951 -0.610180 -191.90% 27.96% -7.15% -35.11%
-2.94% 60.8% 63.74%

4.2.14 1996/7 ~ 2001/12 III

44

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.

4.2.15 1996/7 ~ 2001/12 VI

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.

Floor 70% > Floor 80% > Floor 90% >

> Floor 70% > Floor 80% > Floor 90%

3.

16712

3
8
45

4.

(7)(10)SR
SR

46

Multiplier
Tolerance

5.1
1.

TIPP
CPPICPPI

2.

TIPP > CPPI >

> CPPI > TIPPCPPITIPP

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.

Brennan, Michael J. and Eduardo S.Schwartz, Time-Invariant Portfolio Insurance

Strategies, Journal of Finance, June 1998,p283-299.

4.

Estep, Tony and Mark Kritzman, 1988, TIPP: Insurance without Complexity, Journal
of Portfolio Management 14, summer p.38-42.

5.

G. B. Garuca and F. J. Gould, An Empirical Study of Portfolio Insurance, Financial

Analysts Journal, Jul/Aug 1987, pp.44-54.

6.

Goldberg D.E. Genetic Algorithms in search, optimization and machine learning,

Addison-Wesley Publishing Company, 1989.

7.

J.H.Holland, Adaption in Natural and Artificial Systems, University of Michingan

Press, Ann Arbor, 1975

8.

K. S. Choie and E. J. Seff, TIPP: Insurance Without Complexity: Comment, Journal of

Portfolio Management, Fall 1989, pp.107-108.

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