Dynamical proportion portfolio insurance with genetic programming

Authors:
Jiah-Shing Chen;Chia-Lan Chang
Affiliations:
Department of Information Management, National Central University, Jungli, Taniwan;Department of Information Management, National Central University, Jungli, Taniwan
Venue:
ICNC'05 Proceedings of the First international conference on Advances in Natural Computation - Volume Part II
Year:
2005

Citing 5
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Abstract

This paper proposes a dynamic proportion portfolio insurance (DPPI) strategy based on the popular constant proportion portfolio insurance (CPPI) strategy. The constant multiplier in CPPI is generally regarded as the risk multiplier. Since the market changes constantly, we think that the risk multiplier should change accordingly. This research identifies factors relating to market volatility. These factors are built into equation trees by genetic programming. Experimental results show that our DPPI strategy is more profitable than traditional CPPI strategy.