多資產極大值選擇權應用於限制下方風險之動態資產配置

Abstract

In recent years, considerable interest has arisen over the method of dynamic asset allocation to limit downside risk while allowing some participation in upside market. Thus, the main purpose of our study is to explore how to replicate the maximum multi-asset option by adjusting the weight of the risky assets and risk-free asset dynamically to preserve the upward return with limited downside risk. We attempt to develop an option replication portfolio insurance strategy, called ORPI strategy. This strategy is based on the maximum options pricing model, and is modified with PS method which was popularized by Perold and Sharpe. We use the GARCH volatility model for the estimate and use the method of moving averages over an N-day window to calculate the correlation. We applied this ORPI strategy to ETF data and five markets indices. Then, we perform a sensitivity analysis to compare the performance of the different implementation variables with different floors and investment horizon. The empirical evidences confirm that as the floor declines, less portfolio is protected, but more upside return is captured and vice versa; nevertheless, when the market situation perform badly, the portfolio return could be much worse. When implementing the floor value of 100% of the initial value, a risk-averse investor will try to avoid any loss of the initial portfolio value and then invest in more weights on the risk-free asset. On the other hand, the more risk tolerant investors will tolerate more risk to capture more upward potential and will implement the floor value less than 100% of the initial value so they will invest in fewer weights on the risk-free asset. The main contribution of this thesis is to help investors adjust the asset allocations dynamically with the protection of the chosen floor combined with the GARCH volatility model.