NDLI: Dynamic Portfolio Insurance Strategy and Its Empirical Research in Chinese Futures Market

Content Provider	IEEE Xplore Digital Library
Author	Liang Zhaohui Li Fasheng Guo Yajuan
Copyright Year	2009
Abstract	Futures option cannot only hedge volatility of spot price, but also can protect the investor from loss a lot in disadvantageous circumstances. Without appropriate options, alternative strategy can be taken by combining the underlying asset with risk-free asset, that is, by dynamic adjusting positions of the two assets to replicate the desired option. The strategy is named dynamic portfolio insurance. This paper focused on its implementation by dynamic hedging using only the underlying portfolio (or, more commonly, a highly correlated portfolio of futures) and cash. The basic feature of the dynamic hedging strategy is selling out of the underlying portfolio as its price falls, and buying more of the underlying portfolio as its price rises. The former implements a floor on losses and the latter ensures the upside capture. By simulation, we tested the effectiveness of dynamic portfolio insurance strategy in Chinese futures market.
Starting Page	4266
Ending Page	4269
File Size	259178
Page Count	4
File Format	PDF
ISBN	9781424449095
e-ISBN	9781424457281
DOI	10.1109/ICISE.2009.522
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-12-26
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Information science Oils Insurance Finance Educational institutions Protection Portfolios Contracts Cost accounting Testing
Content Type	Text
Resource Type	Article

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