Piecewise nonlinear goal-directed portfolio insurance strategies under TIPP idea

DOI

10.2991/jcis.2006.178How to use a DOI?

Keywords

Portfolio insurance strategy, goal-directed strategy, piecewise GDCPPI strategy,piecewise GDTIPP strategy.

Abstract

Traditional portfolio insurance (PI) strategy, such as CPPI, only considers the floor constraint but not the goal aspect. This paper proposes a goal-directed (GD) strategy to express an investor's goal-directed trading behavior and combines this floor-less GD strategy with the goal-less CPPI strategy to form a piecewise linear goal-directed CPPI (GDCPPI) strategy. In addition, we extend the piecewise linear GDCPPI strategy to be a piecewise nonlinear GDCPPI strategy. Furthermore, we replace CPPI concept by TIPP idea to generate related GDTIPP strategies. The piecewise GDCPPI and GDTIPP strategies are special cases of goal-directed portfolio insurance (GDPI) strategy. This paper applies genetic algorithm (GA) technique to find better piecewise linear GDPI strategy parameters than those under the Brownian motion assumption. This paper also applies forest genetic programming (GP) technique to generate the piecewise nonlinear GDPI strategy. The statistical tests show that the GP strategy outperforms the GA strategy which in turn outperforms the Brownian strategy.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jiah-Shing Chen
AU  - Benjamin Penyang Liao
PY  - 2006/10
DA  - 2006/10
TI  - Piecewise nonlinear goal-directed portfolio insurance strategies under TIPP idea
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 580
EP  - 583
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.178
DO  - 10.2991/jcis.2006.178
ID  - Chen2006/10
ER  -