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Dynamic Portfolio Insurance
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Book Synopsis Portfolio Insurance by : Donald Luskin
Download or read book Portfolio Insurance written by Donald Luskin and published by Wiley. This book was released on 1988-03-16 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.
Book Synopsis Alternative Investments and Strategies by : Rdiger Kiesel
Download or read book Alternative Investments and Strategies written by Rdiger Kiesel and published by World Scientific. This book was released on 2010 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Book Synopsis Dynamic Portfolio Insurance by : Roy Robertus Petrus Kouwenberg
Download or read book Dynamic Portfolio Insurance written by Roy Robertus Petrus Kouwenberg and published by . This book was released on 1998 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Risk Management Approach for Portfolio Insurance Strategies by : Benjamin Hamidi
Download or read book A Risk Management Approach for Portfolio Insurance Strategies written by Benjamin Hamidi and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Controlling and managing potential losses is one of the main objective of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987; Black and Perold, 1992): the so-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the leverage - called the multiple- likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order for the risk exposure to remain constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC40 and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones: the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditional strategies.
Book Synopsis How Option Replicating Portfolio Insurance Works by : Thomas J. O'Brien
Download or read book How Option Replicating Portfolio Insurance Works written by Thomas J. O'Brien and published by . This book was released on 1989 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Insurance - An Analysis of Dynamic Portfolio Insurance Strategies Without Derivatives by : Sandra Bacher
Download or read book Portfolio Insurance - An Analysis of Dynamic Portfolio Insurance Strategies Without Derivatives written by Sandra Bacher and published by . This book was released on 2013 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sowohl die Constant Proportion Portfolio Insurance (CPPI) als auch die Time Invariant Portfolio Protection (TIPP) sind die bekanntesten Beispiele für Portfolio Absicherungsstrategien ohne derivative Instrumente. Da beide Strategien bei Privatinvestoren breite Verwendung finden, ist es von besonderem Interesse durch Studien festzustellen, welche der beiden Strategien die erfolgversprechendere Variante darstellt. Dem kommt besonders in Zeiten fallender Aktienkurse, wie zum Beispiel während der Finanzkrise, erhöhte Bedeutung zu, da gerade zu solchen Zeiten Privatinvestoren eine Absicherung ihrer Postfolios anstreben. Um die Möglichkeiten der CPPI und der TIPP Strategien beurteilen zu können, werden sowohl empirische Untersuchungen durchgeführt als auch auf vorhandene Literatur zurückgegriffen. Der Erfolg der Strategien kann anhand der Ermittlung der Downside Risiken und anhand von Performance Kennzahlen beurteilt werden. Somit ist es auch möglich die Forschungsfrage zu beantworten. Die Ergebnisse zeigen, dass für Privatinvestoren die TIPP Strategie zu bevorzugen ist. Die TIPP Strategie entspricht dem Risikoprofil eines Privatinvestors besser und bietet darüber hinaus eine höhere Qualität der Absicherung.*****The constant proportion portfolio insurance (CPPI) as well as the time invariant portfolio protection (TIPP) are the most prominent examples of portfolio insurance strategies without derivatives. Since both strategies are widely used among private investors it is of particular interest to examine which of the two portfolio insurance strategies is the most promising strategy. This applies especially to periods characterized by falling equity markets like during the financial crisis when private investors specifically seek for protection of their portfolios. In order to investigate the potential of the CPPI and the TIPP strategy an empirical analysis as well as secondary research is used. By calculating downside risk and performance measures the success of the strategies can be examined and the research question can be answered. Results show that the TIPP strategy is favorable for private investors. Moreover the TIPP strategy better fits the risk profile of a private investor and offers higher quality of protection.
Book Synopsis Dynamic Portfolio Insurance and Equilibrium Pricing by : Zhongquan Zhou
Download or read book Dynamic Portfolio Insurance and Equilibrium Pricing written by Zhongquan Zhou and published by . This book was released on 1993 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Portfolio Insurance and Tactical Asset Allocation on the JSE by : Zwelakhe Sizwe Mngomezulu
Download or read book Dynamic Portfolio Insurance and Tactical Asset Allocation on the JSE written by Zwelakhe Sizwe Mngomezulu and published by . This book was released on 2016 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Book Synopsis Theory and Practice of Portfolio Insurance by : Martin Kolrep
Download or read book Theory and Practice of Portfolio Insurance written by Martin Kolrep and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: To limit the maximum loss of a portfolio, investment strategies can be enhanced by adding a portfolio insurance component. We have analyzed various portfolio insurance strategies - from the static stop-loss concept to option-based strategies and dynamic portfolio insurance strategies. The findings suggest that an active approach on the basis of dynamic risk forecasts is an effective alternative.
Book Synopsis Portfolio Insurance and Other Dynamic Asset Allocation Strategies, Preferences and Market Equilibrium by : Ragnar Lindgren
Download or read book Portfolio Insurance and Other Dynamic Asset Allocation Strategies, Preferences and Market Equilibrium written by Ragnar Lindgren and published by . This book was released on 1990 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Book Synopsis Static and Dynamic Portfolio Insurance by : Dominic Rütsche
Download or read book Static and Dynamic Portfolio Insurance written by Dominic Rütsche and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Bachelor-Arbeit befasst sich mit der Wertsicherung von Portfolios und behandelt hierzu sowohl statische als auch dynamische Strategieansätze. Im theoretischen Teil der Arbeit werden wichtige Annahmen an das zugrunde liegende Marktmodell formuliert und Masse zur Evaluation von Wertsicherungsstrategien eingeführt. Besonderes Augenmerk gilt ferner der mathematischen Beschreibung zweier statischer bzw. dynamischer Strategien anhand von stochastischen Bewegungsgleichungen. Im empirischen Teil werden die jeweiligen Eigenschaften zur Absicherung eines Anfangsvermögens mittels der Monte Carlo Simulation in MATLAB überprüft. Ziel dieser Analyse ist es, basierend auf qualitativen und quantitativen Kriterien eine Bewertung hinsichtlich des Tradeoffs zwischen Absicherungsniveau und Wertentwicklung eines wertgesicherten Portfolios vorzunehmen.
Book Synopsis Extreme Events in Finance by : Francois Longin
Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-10-17 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Book Synopsis Managing Investment Portfolios by : John L. Maginn
Download or read book Managing Investment Portfolios written by John L. Maginn and published by John Wiley & Sons. This book was released on 2007-03-09 with total page 960 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University
Book Synopsis A Bootstrap-Based Comparison of Portfolio Insurance Strategies by : Hubert Dichtl
Download or read book A Bootstrap-Based Comparison of Portfolio Insurance Strategies written by Hubert Dichtl and published by . This book was released on 2014 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents a systematic comparison of portfolio insurance strategies. In order to test for statistical significance of the differences in downside performance risk measures between pairs of portfolio insurance strategies, we use a bootstrap-based hypothesis test. Our comparison of different strategies considers the following distinguishing characteristics: static versus dynamic; initial wealth versus cumulated wealth protection; model-based versus model-free; and strong floor compliance versus probabilistic floor compliance. Our results show that the classical portfolio insurance strategies synthetic put and CPPI provide superior downside protection compared to a simple stop-loss trading rule, also resulting in significantly higher Omega ratios. Analyzing more recently developed strategies, neither the TIPP strategy (as an 'improved' CPPI strategy) nor the dynamic VaR-strategy provide significant improvements over the more traditional portfolio insurance strategies. The attractiveness of the dynamic VaR-strategy strongly depends on the quality of the estimates for the required input parameters, in particular, the equity risk premium. However, if an investor possesses superior forecasting skills, other active (market timing) strategies may exist which generate higher (risk-adjusted) returns compared to a protected passive stock market investment.
