Document Type



Constant Proportion Portfolio Insurance (CPPI) is the most popular portfolio insurance strategy using hedging strategy to protect principal while a wave upward or downward trend in the market is noted. Nevertheless, since the original CPPI was proposed, its performance has been limited to relevant parameters of strategy. And since there is no clear, definite and systematic rule of decision has get been proposed, it also has unstable performance and worse upside capture, especially for the multiplier (Mv) in model parameters, it has far great influence to end-of-period return. If Mv can be decided with its initial value setting and dynamic tuning via certain appropriate approach, under a decent mechanism of market timing selection, the strategy can therefore acquire excess return of min-max operation due to sharp improvement of upside capture, and also can provide hedging function within the insured volume when the market declines. This paper presents a systematic method using the value-at-risk control method to dynamically adjust the CPPI strategy parameter Mv, called asset allocation insurance strategy value-at-risk based asset allocation insurance strategy model (VALIS). We proof that the proposed model is a dynamic asset allocation insurance strategy, which is conservative but also aggressive; and shows that it is in compliance with the characteristics of idea portfolio insurance strategy, and is feasible and effective. From an empirical study of the Pan-Pacific market, we found that in any type of market or trend it is clearly better than the major benchmark indices, and it outperform other traditional portfolio insurance strategy.