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研究生： 李懷義
Lee, Huai-I
論文名稱： 變動比例投資組合保險策略及其在短期和長期資產管理上之應用
Variable Proportion Portfolio Insurance and its Applications in Short-Term and Long-Term Asset Management
指導教授： 江明憲
Chiang, Min-Hsien
學位類別： 博士
Doctor
系所名稱： 管理學院 - 企業管理學系
Department of Business Administration
論文出版年： 2007
畢業學年度： 95
語文別： 中文
論文頁數： 99
中文關鍵詞： 等比例投資組合保險 、變動比例投資組合保險 、權變制輪式要保額度動態比例投資組合保險策略 、KT index 、截尾期末資產價值分配型態 、等額變動要保額度指數比例投資組合保險策略 、乘數-緩衝額度模式
外文關鍵詞： constant proportion portfolio insurance (CPPI), exponential proportion portfolio insurance with, contingently ratcheted floor variable proportion, multiple-cushion model, asset management strategy, KT index, truncated payoff distribution, variable proportion portfolio insurance (VPPI)
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    • 越來越多的文獻顯示在從事一項投資行為時，投資人追求的是截尾的資產價值分配型態 (truncated payoff distribution)，即，在整個投資期間內保持資產價值高於事前所設定的門檻值。而投資組合保險的運作機制為達到此一目的的主要方法。但是，實證的資料顯示目前動態投資組合保險的主流方法固定比例投資組合保險（Constant Proportion Portfolio Insurance, CPPI）策略的績效並不突出。本文重新建構此類型的模式，稱為乘數-緩衝額度模式 。而CPPI策略屬於此一模式的一個特例。乘數-緩衝額度將CPPI策略的乘數由固定放寬為變動，將要保額度由以無風險利率成長的方式修正為與股價變動相連結。此種模式不但提高模式的效能也增加應用的彈性，資產管理人可以依照長短期不同的需要設計出不同的策略。以此一模式為基礎，在短期資產管理部分本文設計出等額變動要保額度指數比例投資組合保險 (Exponential Proportion Portfolio Insurance with Equal Floor Change, EPPI-EF) 策略，在長期資產管理部分本文設計出權變制輪式要保額度動態比例投資組合保險 (Contingently Ratcheted Floor Variable Proportion Portfolio Insurance, CRF-VPPI) 策略。
    又有鑑於現有以CAPM為基礎所發展出來的績效衡量並不適用於投資組合保險，本文將Lee, Chiang, and Hsu (2006) 估算期望利得（損失）的方法結合到展望理論中形成KT index（由Kahneman and Tversky（1979）縮寫而成）。做為投資組合保險的績效衡量指標。KT index 具備了（1）不受資料分配型態限制，（2）更能反應投資人效用變化，（3）以展望理論為基礎，具備良好的解釋能力等優點。
    模擬部分主要在檢視期末資產價值的分配型態是否與模型建議的型態相吻合。本文以1,000個蒙地卡羅模擬值為母體，以隨機方式抽取30個模擬值以等權方式合成一個投資組合。建立30個投資組合來進行統計檢定。不論EPPI-EF策略或CRF-VPPI策略，模擬的發現與模型所建議的期末資產價值分配特性相吻合。為了確定蒙地卡羅模擬的結論是穩健的 (robust)，本文在模擬之後接著進行參數敏感性分析，參數敏感性分析的結論與蒙地卡羅模擬的結論相一致。
    為了確定所建議的策略也適用於真實的環境，本文在三個不同交易成本的情境下，分別進行已開發股票市場（以美國股票市場 (CRSP資料庫) 為例）和開發中股票市場（以台灣股票市場（TEJ資料庫）為例）的實證研究。實證的證據顯示在短期資產管理部分，本文所建議的EPPI-EF策略顯著地優於CPPI策略。在長期部分，本文所建議的CRF-VPPI策略同樣顯著地優於CPPI策略和Rolling-CPPI策略。實證的證據具備內部效度、外部效度和穩健性，因此，實證的證據顯示本文所建議的EPPI-EF策略和CRF-VPPI策略具備相當高的實務應用性。
    本文的貢獻計有：（1）發展出乘數-緩衝模型取代CPPI模型成為該類型模型的基本型，相較於CPPI模型，新的模型有提高效能與增加應用彈性等優點。（2）結合估算期望利得（損失）的方法和展望理論成為KT index，KT index 可以成為以CAPM為基礎績效衡量之外的另一種衡量指標。（3）針對短期資產管理之需要，提出EPPI-EF策略。EPPI-EF策略的資產管理績效要高於CPPI策略，最重要的是EPPI-EF策略仍然具備簡單的特性。最後，（4）針對長期資產管理之需要提出CRF-VPPI策略。CRF-VPPI策略可以創造出向上階梯式期末資產價值的分配型態，其績效顯著地優於CPPI策略和Rolling-CPPI策略。
    關鍵詞：等比例投資組合保險,變動比例投資組合保險,乘數-緩衝額度模式,資產管理,截尾期末資產價值分配型態,等額變動要保額度指數比例投資組合保險策略,權變制輪式要保額度動態比例投資組合保險策略,KT index

    The existing literature reveals that the need for obtaining a truncated payoff distribution in asset management is increasing. Portfolio insurance is one of the main tools to achieve this need. With the advantages of simplicity and flexibility, the CPPI (Constant Proportion Portfolio Insurance) takes the dominance in dynamic portfolio insurance. However, some empirical evidences have showed that the performance of the CPPI is not striking. This study re-builds the generic form, which is called multiple-cushion model, of this type portfolio insurance. The multiple-cushion model relaxes the multiple discipline of the CPPI from a constant to a variable and revises the floor discipline of the CPPI from increasing at the risk-free interest rate to changing with risky asset price. This kind of mechanism not only increases the performance but also enables a fund manager to design a strategy flexibly for fulfilling individual asset management proposes. Based on multiple-cushion model, for the short-term, this study proposes an exponential proportion portfolio insurance with equal floor change ( EPPI-EF) strategy; for the long-term, this study proposes a contingently ratcheted floor variable proportion portfolio insurance (CRF-VPPI).
    Meanwhile, the existing CAPM-based performance measurements are not appropriate for portfolio insurance strategies. Integrating the estimation of expected gain (loss) of portfolio insurance into the prospect theory, this study proposes the KT index (initial after Kahneman and Tversky (1979)) for portfolio insurance performance measurement. The advantages of KT index include: The KT index (1) is distribution-free, (2) is more realistic to reflect the utility changes when conducting an investment under uncertainty, and (3) originates from a well-known theory which provide a solid ground for interpretation.
    Monte Carlo simulations are conducted to examine whether the payoff distribution is consistent with properties provided by individual strategy. In order to ensure findings obtained from Monte Carlo simulations are robust, sensitivity analysis of parameters are followed. First, this study applies Monte Carlo simulations to obtain 1,000 trials which each trial corresponds to a possible price path to form a population. Then, 30 trials are randomly retrieved to form a portfolio with equal-weight. Finally, 30 portfolios are built for statistical analysis. The results of Monte Carlo simulations are consistent with properties of the EPPI-EF and the CRF-VPPI, respectively. Moreover, the sensitivity analysis of parameters confirms that findings of the Monte Carlo simulations are robust.
    This study performs empirical tests to see whether proposed strategies are workable in the real world. With three different transaction cost scenarios, this study conducts empirical tests for a mature market and an emerging market, respectively, for each proposed strategy. In the short-term, the empirical evidences indicate that the EPPI-EF outperforms the CPPI. In the long-term, the empirical results show that the CRF-VPPI outperforms the CPPI and the Rolling-CPPI, respectively. That is, those proposed strategies are workable in the real world.
    The contributions of this dissertation can be summarized as follows: (1) The multiple-cushion model can be a basic form for future strategies development. (2) The KT index is appropriate for the performance measurement over portfolio insurance strategies. (3) The EPPI-EF strategy outperforms the CPPI in the short-term and workable in the real world. Finally, (4) the CRF-VPPI creates an upward ladder payoff distribution to result in a better utility satisfaction under loss-aversion.

    Keywords: truncated payoff distribution, constant proportion portfolio insurance (CPPI), variable proportion portfolio insurance (VPPI), multiple-cushion model, asset management strategy, exponential proportion portfolio insurance with equal floor change (EPPI-EF), contingently ratcheted floor variable proportion portfolio insurance (CRF-VPPI), KT index.

    第一章: 緒論………………………………………………………………… 1 第二章: 文獻探討…………………………………………………………… 5 2.1.投資組合相關議題 …………………………………………… 5 2.2.投資組合保險績效衡量相關議題 …………………………… 12 2.3.行為財務相關議題 …………………………………………… 12 第三章: 績效衡量…………………………………………………………… 15 第四章: 動態比例投資組合保險（VPPI）………………………………… 23 4.1.乘數-緩衝額度模式…………………………………………… 23 4.2.動態比例投資組合保險模型 ………………………………… 27 4.3.CPPI策略的運作機制………………………………………… 28 4.4.VPPI模式與CPPI策略之比較 ………………………………… 29 第五章: 短期投資組合保險資產管理策略（EPPI-EF） …………………… 30 5.1.緒論 …………………………………………………………… 30 5.2.乘數大小與CPPI策略績效的探討…………………………… 32 5.3.EPPI-EF策略 ………………………………………………… 34 5.4.模擬與實證研究 ……………………………………………… 36 5.5.結論 ………………………………………………………… 49 第六章: 損失趨避下長期資產管理策略（CRF-VPPI）…………………… 50 6.1. 文獻探討與策略建議……………………………………… 50 6.2. 模型………………………………………………………… 51 6.3. 模擬與實證研究…………………………………………… 54 6.4. 實務上之應用……………………………………………… 72 6.5. 結論………………………………………………………… 75 第七章: 資產管理意涵和貢獻…………………………………………… 77 第八章: 結論與建議………………………………………………………… 79 參考文獻………………………………………………………… 81 附錄……………………………………………………………… 86 圖表目錄 圖3-1: 期望利得與期望損失的觀念………………………………………… 18 表3-1: 以台灣樣本為例展望理論價值函數的係數估計值………………… 21 表5-1: 不同乘數的CPPI策略與EPPI-EF策略的分量的敘述統計摘要比較 38 表5-2: 從CRSP資料庫中隨機抽出300支股票所整理出來的敘述統計摘要、KT indices、Sharpe Ratio和t檢定統計值 ……………………… 41 表5-3: 從CRSP資料庫中隨機抽30支股票建構成一個投資組合，30個投資組合的敘述統計摘要和t檢定統計值………………………………… 43 表5-4: 從TEJ資料庫中隨機抽出300支股票所整理出來的敘述統計摘要、KT Indices、Sharpe Ratio和t 檢定統計值………………………… 45 表5-5: 從TEJ資料庫中隨機抽30支股票建構成一個投資組合，30個投資組合的敘述統計摘要和t 檢定統計值…………………………………… 46 表5-6: 主要市場指數在1987年10月股災前與股災後的日波動敘述統計 48 表 6-1: 以1,000個蒙地卡羅模擬值所做的分量資產價值分配分析……… 56 表 6-2: 以1,000個蒙地卡羅模擬值所做的參數敏感性分析：假設其他不變，令乘數為3 …………………………………………………………… 57 表 6-3: 以1,000個蒙地卡羅模擬值所做的參數敏感性分析：假設其他不變，令乘數為5 …………………………………………………………… 58 表 6-4: 以1,000個蒙地卡羅模擬值所做的參數敏感性分析：假設其他不變，令要保額度為 $7,500 ………………………………………………… 59 表 6-5: 以1,000個蒙地卡羅模擬值所做的參數敏感性分析：假設其他不變，令要保額度為 $8,500 ……………………………………………… 60 表 6-6: 在三種不同交易成本情境下不同策略的30組投資組合資產價值(payoff) 的敘述統計摘要及成對樣本檢定統計量：以CRSP資料庫中上市公司為例………………………………………………………………… 62 表6-7：在三種不同交易成本情境下不同策略30組投資組合的Sharpe ratio：以CRSP資料庫中上市公司為例………………………………… 63 表 6-8: 在三種交易成本情境下不同策略的30組投資組合KT index的敘述統計摘要及成對樣本檢定統計量：以CRSP資料庫上市公司為例… 64 表 6-9: 在三種不同交易成本情境下不同策略的30組投資組合資產價值(payoff) 敘述統計摘要及成對樣本檢定統計量：以TEJ資料庫中上市公司為例……………………………………………………………………… 66 表6-10：在三種不同交易成本情境下不同策略30組投資組合的Sharpe ratio：以TEJ資料庫中上市公司為例…………………………………… 67 表 6-11: 三種交易成本情境30組投資組合不同策略下KT index的敘述統計摘要及成對樣本檢定統計量：以TEJ資料庫上市公司為例………… 68 表6-12：股票價格跳空下跌情境下不同策略資產價值和KT Index的敘述統計摘要及成對樣本檢定統計量：以CRSP資料庫中上市公司為例… 71 表6-13：股票價格跳空下跌情境下不同策略資產報酬 (return) 的敘述統計摘要及Sharpe Ratio ……………………………………………………… 72 表6-14：凱基GAMA基金2006年12月的排名 ………………………… 75 表C-1：台灣樣本對 的實驗值進行非線性迴歸估計得到的整體模式判定值………………………………………………………………………… 95 表C-2：台灣樣本對 的實驗值進行非線性迴歸分析所得到的個別係數判定值……………………………………………………………………… 95 表C-3：台灣樣本對 的實驗值進行非線性迴歸估計得到的整體模式判定值………………………………………………………………………… 95

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