The Empirical Research In The Application of Stock Selection Strategy In CPPI
Date Issued
2008
Date
2008
Author(s)
Yang, Nai-Wei
Abstract
CPPI gives investors a simple asset allocation strategy. It is operated by losing some upward benefit to exchange downward risk protection. In the past literatures,PPI often invested its risky asset in index portfolios. Therefore, this research will find out if CPPI ’s performance will be better when we applying the stock selection strategies in CPPI.e will use the S&P500 index‘s component stock price and their financial information in the quarterly report to analyze which are better stock selection indicators. We find out cash to price ratio, earning to price ratio ,and market capitalization are better stock selection indicators when we use a single factor to select stocks. We also find out multifactor stock selection strategies will give much better performance than single factor strategies.fter the former research ,we use sector analysis and NAV to account for the reason why some factors make a better performance. Finally ,we apply the stock selection strategies in CPPI to see if this method will give CPPI ’s performance better ,and how to adjust multiplier to fit the stock selection strategies by CPPI ‘s performance indicators.
Subjects
stock selection
CPPI
Type
thesis
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