关键词: 组合保险策略, 半方差, 避险策略

Abstract: The drawback of a portfolio insurance strategy based on volatility is that it could not measure the downside volatility risk concerned by investors with low-risk tolerance. We propose a portfolio insurance strategy based on semi-variance to better capture information about price drops. Through a drawback test on CSI 300 index, we find that: (1) Compared with the benchmark strategy based on volatility, our strategy manages to cover the principal and significantly increases the expected return relative to unit loss, which can better meet the investors’ needs of resisting loss and getting return. (2) In either total or partial principal coverage, our strategy provides more prominent portfolio performance than the benchmark strategy. (3) Frequent trading brings excess transaction costs, and this could overwhelm our strategy’ s performance superiority, so could the use of external leverage. Therefore we suggest decreasing the trading frequency and not using external leverage when our strategy is taken. Our strategy might be enlightening for long-term investments by individuals or institutions featuring low-risk tolerance and aiming moderate return.

Key words: Portfolio Insurance Strategy, Semi-variance, Hedging Strategy