EXPECTED PERFORMANCE AND RISKS OF （预期的性能和风险）.pdf

EXPECTED PERFORMANCE AND RISKS OF .., 1093 EXPECTED PERFORMANCE AND RISKS OF VARIOUS PORTFOLIO INSURANCE STRATEGIES BY JEAN-FRA~TCOISBOULIER AND Arw KANNIGANTI DIRECTIONRECIIERCHE ET INNOVATION CCF 103, AVENUE 1x6 CHAMPS ELYSEES 75008 PARIS TEL : 33-l FAX : 33-l-4070303 1 ABSTRACT Guaranteed funds have had great success in France recently. These products are complex, and their behavior is not always well understood. What are their expected performance and risk profiles? While the technique of portfolio insurance (PI) has existed for some time, only the simplest case of the most popular method, the so- called “cushion method” of Black and Fisher, also known as Constant Proportion Portfolio Insurance (CPPI) has received any theoretical analysis. In this paper, we consider this method in a realistic case, where there are constraints on the maximum exposure to the market. We also study PI techniques more sophisticated than this basic method, principally through stochastic simulations. We arrive at an understanding of the performances and risks of PI strategies little developed till now, including sensitivity to parameters such as the multiplier. Our simulation results show that the imposition of a constraint on the maximum exposure significantly diminishes the performance of the