포트폴리오 보험전략의 성과비교

초록

This paper compared performances of portfolio insurance strategies. When the return of the stock becomes bearish below the risk-free interest rate, the constant proportion portfolio insurance (CPPI) strategy and the time-invariant portfolio protection (TIPP) strategy outperform the buy-and-hold strategy, which implies that a linear trading rule outperforms the buy-and-hold strategy.

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