Constant proportion portfolio insurance for fixed-income investment
将固定比例投资组合保险方法从股票扩展到固定收益工具，为养老金等投资者提供下行风险保护，同时保留上行参与机会。
m ortfolio insurance is designed to give the investor the ability to limit downside risk while allowing some participation in upside markets. This return pattern has seemed attractive to many investors, who have poured up to $70 billion into various portfolicl insurance products. Most of this money has been in equity portfolios, although an accelerating amount seems to be in fixed-income accounts. There is little doubt that the market crash in October 1987 cast a shadow on portfolio insurance, perhaps even threatening its continued viability in the equity market. Criticism has come from all sides. On the one hand, some regulators and non-users of portfolio insurance blamed the crash on program selling frorn insured portfolios. On the other hand, many portfolio insurance investors were unhappy with the performance of their investments. Some of those were in protected portfolios whose managers elected not to trade as the market was tumbling (as required by the strategy); these portfolios fell below the supposed protection level. Nevertheless, the promise of a protected portfolio remains attractive, and we anticipate that many investors will continue to allocate funds to protection, albeit witlh a new awareness of the risks. Moreover, the trerid toward increased debt allocation by pension funds in light of FASB 87 will increase interest in fixedincome based portfolio insurance. To meet the poten tial interest, this paper extends the methodology of constant proportion portfolio insurance (CPPI), originally developed for equity instruments by Black and Jones [1987] and Perold [1986], to fixed-income instruments. We show that CPPI using only fixedincome instruments is a viable alternative to traditional forms of portfolio insurance.