Static And Dynamic Portfolio Insurance

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Static and Dynamic Portfolio Insurance

Author : Dominic Rütsche
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (779 download)

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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.

Optimal Static Allocation Decisions in the Presence of Portfolio Insurance

Author : Felix Goltz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Optimal Static Allocation Decisions in the Presence of Portfolio Insurance by : Felix Goltz

Download or read book Optimal Static Allocation Decisions in the Presence of Portfolio Insurance written by Felix Goltz and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this paper is to determine what fraction a myopic risk-averse investor should allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and equity risk premium. Our conclusion is that typical investors should optimally allocate a sizable fraction of their portfolio to such portfolio insurance strategies, and the associated utility gains are significant. While the fact that static investors would benefit from accessing dynamic investment strategies is in essence not surprising, we have found the size of the rational investment in such structures to be rather remarkable. This strong result is robust with respect to various parametric assumptions, as well as the presence of realistic levels of market frictions and heterogeneous expectations on volatility.

A Bootstrap-Based Comparison of Portfolio Insurance Strategies

Author : Hubert Dichtl
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)

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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.

Theory and Practice of Portfolio Insurance

Author : Martin Kolrep
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)

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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.

Dynamic Portfolio Insurance

Author : Roy Robertus Petrus Kouwenberg
Publisher :
ISBN 13 : 9789050862813
Total Pages : 39 pages
Book Rating : 4.8/5 (628 download)

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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:

Portfolio Insurance and Other Dynamic Asset Allocation Strategies, Preferences and Market Equilibrium

Author : Ragnar Lindgren
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (186 download)

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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:

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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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.

Portfolio Insurance and VaRoP. A Comparison

Author : Ralf Hohmann
Publisher : GRIN Verlag
ISBN 13 : 334640868X
Total Pages : 23 pages
Book Rating : 4.3/5 (464 download)

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Book Synopsis Portfolio Insurance and VaRoP. A Comparison by : Ralf Hohmann

Download or read book Portfolio Insurance and VaRoP. A Comparison written by Ralf Hohmann and published by GRIN Verlag. This book was released on 2021-05-18 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Scientific Essay from the year 2021 in the subject Business economics - Investment and Finance, , language: English, abstract: Investments in money and capital markets involve different loss potentials that market participants should be able to manage. Below follows an overview and comparison of selected strategies to manage these risks. Portfolio insurance (PI) strategies were developed in the 1980s. They are used to hedge portfolios or individual investments against price losses. The volume of assets hedged with these strategies is significant. Different forms of individual strategies have developed over the years. Risk quantification and Value at Risk (VAR) strategies emerged around the same time. Risks of individual investments or portfolios were measured and different strategies were developed to take them into account in Value at Risk optimised portfolios (VaRoP). VaRoP is a strategy that calculates an optimal portfolio taking into account a given or permissible maximum VAR. Both strategies are intended to protect portfolios from losses in value. Their similarities and differences as well as their successes are presented and summarised in this paper. Their applicability in practice is also examined.

Dynamic Portfolio Insurance and Equilibrium Pricing

Author : Zhongquan Zhou
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (779 download)

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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:

Portfolio Insurance - An Analysis of Dynamic Portfolio Insurance Strategies Without Derivatives

Author : Sandra Bacher
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (12 download)

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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.

A Risk Management Approach for Portfolio Insurance Strategies

Author : Benjamin Hamidi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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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.

Portfolio Insurance

Author : Harry M. Kat
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Portfolio Insurance by : Harry M. Kat

Download or read book Portfolio Insurance written by Harry M. Kat and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article we use stochastic simulation methods to study the performance of a number of different dynamic portfolio insurance strategies, including option replicating portfolio insurance (ORPI), constant proportion portfolio insurance (CPPI) and a modified stop-loss (MSLI) strategy. We assume the underlying portfolio to be the Samp;P 500 tracking portfolio with all dividends reinvested upon receipt. The initial time to maturity is one year. Although the differences are mostly small, our results show that ORPI typically offers more attractive results than CPPI or MSLI. Adjusting the floor rule to lock in intermediate profits or adding a constant horizon feature does not lead to superior results.

Algorithms for Portfolio Optimization and Portfolio Insurance

Author : Markus Rudolf
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Algorithms for Portfolio Optimization and Portfolio Insurance by : Markus Rudolf

Download or read book Algorithms for Portfolio Optimization and Portfolio Insurance written by Markus Rudolf and published by . This book was released on 1994 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Equity Portfolio Insurance Against a Benchmark

Author : Hamza Bahaji
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Equity Portfolio Insurance Against a Benchmark by : Hamza Bahaji

Download or read book Equity Portfolio Insurance Against a Benchmark written by Hamza Bahaji and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The paper examines some features of this extension related to its dynamic, its relative risk-reward profile and its static replication. It focuses more specifically on the optimal design of this portfolio strategy in the sense of consumption-investment decision making.

Portfolio Insurance reloaded

Author : Ralf Hohmann
Publisher : Springer-Verlag
ISBN 13 : 3658221259
Total Pages : 63 pages
Book Rating : 4.6/5 (582 download)

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Book Synopsis Portfolio Insurance reloaded by : Ralf Hohmann

Download or read book Portfolio Insurance reloaded written by Ralf Hohmann and published by Springer-Verlag. This book was released on 2018-05-16 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses essential gibt einen Überblick zu aktuellen Erscheinungsformen der Portfolio Insurance sowie zur Anwendbarkeit der Constant-Proportion-Portfolio-Insurance mit vielfältigen Finanztiteln auf unterschiedlichen Geld- und Kapitalmärkten. Die empirische Untersuchung mit historischen Daten dazu umfasst einen Zeitraum von über sechs Jahren und ist in diesem Umfang ohne Vergleich. Die Darstellung und Vorgehensweise im Rahmen der Strategie erfolgt detailliert und wird mit Beispielen zur Replizierbarkeit unterstützt. Gleiches gilt für die empirischen Ergebnisse der unterschiedlichen Ergebnisse und der jeweiligen Finanztitel, die mit der Portfolio Insurance geschützt werden. Als Ergebnis wird deutlich, dass Transaktionskosten keinen wesentlichen Einfluss auf das Ergebnis der Strategien haben, negative Zinssätze jedoch den Erfolg maßgeblich negativ beeinflussen können.

Derivatives and Equity Portfolio Management

Author : Bruce M. Collins
Publisher : John Wiley & Sons
ISBN 13 : 9781883249601
Total Pages : 246 pages
Book Rating : 4.2/5 (496 download)

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Book Synopsis Derivatives and Equity Portfolio Management by : Bruce M. Collins

Download or read book Derivatives and Equity Portfolio Management written by Bruce M. Collins and published by John Wiley & Sons. This book was released on 1999-01-15 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frank Fabozzi and Bruce Collins fully outline the ins and outs of the derivatives process for equity investors in Derivatives and Equity Portfolio Management. A significant investment tool of growing interest, derivatives offer investors options for managing risk in a diversified portfolio. This in-depth guide integrates the derivatives process into portfolio management and is replete with applications from authors with extensive Wall Street experience. Whether you're and individual investor or portfolio manager seeking to improve investment returns, you'll quickly learn about listed equity contracts, using listed options in equity portfolio management, risk management with stock index futures, OTC equity derivatives-and profit from your new found knowledge.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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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.