[[alternative]]Applying Value-at-Risk and extreme value theory to dynamic portfolio insurance strategy

碩士商業教育學系[[abstract]]固定比率投資組合保險策略（CPPI）及時間不變性投資組合保險策略（TIPP）為現今機構投資人在發行新金融商品或是持有投資組合資產時常用來避險之策略，但是由於兩者在乘數的設定上過於主觀，且在保險期初決定後便不再更改之特性，使得投資組合在面臨外在市場變化時並無反應之能力；再加上各投組保險策略均有其特別表現出色之市場趨勢，更加深了投資人在選擇使用上之困擾。 本研究首先運用最佳動態乘值的觀念，實證風險值(Value at Risk）於提高保本策略靈活度之效果；其次，傳統投資組合保險策略在理論架設上，均有市場突然性的跳空情況將不存在之假設，明顯與現實環境相違背，故於研究中將極端值理論融入投資組合保險策略，以處理當市場非預期性下挫時所造成投資組合總價值跌破要保額度之缺陷。本論文利用美國S&P500 指數為實證對象，結果發現在市場出現非預期性崩壞時，動態乘值策略確可以顯著規避掉大部分下方風險。[[abstract]]CPPI and TIPP are mostly used by institutional investors when they issue new financial products or held portfolio to hedge market risk. However, the multiplier used in the CPPI and TIPP were decided by investors themselves at the beginning of insurance period, and no longer changed till the end. Which would makes the CPPI and TIPP strategies not able to react effectively when market changes. Various strategies perform well under certain trend of specified practical financial markets,and that characteristic would make the investors hard to make decision while choosing portfolio insurance strategies. This thesis cooperates with Wang (2002) and applies the dynamic multiplier strategies with Value-at-Risk to enhance the reacting ability of portfolio insurance strategies when market changed. The traditional portfolio insurance strategies assume that the stock price is continuous, that means the market crash does not exist,nevertheless, it’s impossible in practical market environment. We solve this problem by adding extreme value theory to improve the performance of portfolio through insurance strategies in the market crash circumstance. Evidences from S&P500 index shows that the dynamic multiplier method would avoid significantly the down-side risk when market crash