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Portfolio Insurance And Varop A Comparison
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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.
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.
Book Synopsis Portfolio Insurance in Imperfect Markets by : Thawatchai Jittrapanun
Download or read book Portfolio Insurance in Imperfect Markets written by Thawatchai Jittrapanun and published by . This book was released on 1994 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Insurance Strategies by : Jean-Luc Prigent
Download or read book Portfolio Insurance Strategies written by Jean-Luc Prigent and published by . This book was released on 2003 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI), when the volatility of the stock index is stochastic. In this framework, we provide a quite general formula for the CPPI portfolio value. We use criteria such as comparison of payoffs functions at maturity and various quantiles. We emphasize in particular the role of the insured percentage of the initial investment.
Book Synopsis Cash lock comparison of portfolio insurance strategies by : Sven Balder
Download or read book Cash lock comparison of portfolio insurance strategies written by Sven Balder and published by . This book was released on 2010 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Insurance Techniques by : Giovanni Fuganti
Download or read book Portfolio Insurance Techniques written by Giovanni Fuganti and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Portfolio Insurance -- A Comparison of Alternative Strategies by : Jorge Costa
Download or read book Portfolio Insurance -- A Comparison of Alternative Strategies written by Jorge Costa and published by . This book was released on 2013 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study makes a comparison between the most popular strategies of Portfolio Insurance based on Monte Carlo simulation. This work aims to define the best strategy at comparing different strategies and provide a contribution to solving some divergences in literature. Most of the previous comparisons do not take into consideration all the strategies discussed in this study and this analysis intends to add some relevant findings.The OBPI, CPPI and SLPI strategies are evaluated in terms of moments of the distribution, performance ratios (Sharpe ratio, Sortino ratio, Omega ratio and Upside Potential ratio) and stochastic dominance in different market conditions represented by an underlying asset that follows a geometric Brownian motion. In order to have a perception of a real situation in financial markets, the strategies are later also applied to three major stock indices (S&P 500, DJ EuroStoxx 50 and Nikkei 225).We find that CPPI 1 and SLPI strategies should be preferred in all scenarios according to the higher performance ratios, the higher expected returns and other measures. The choice between them is based on the preferences of the investor or manager, but we also find that the CPPI 1 strategy stochastically dominates, on second and third order, the others strategies in bear market scenarios. From our results we can state that a value of 100% for the floor should be preferred in terms of performance ratios, expected returns and other measures. This comparison allows improving the efficiency of decision making of an investor or manager in a Portfolio Insurance investment.
Book Synopsis Performance Comparison of Bond/Call Option and Portfolio Insurance Strategy by : Dan Shao
Download or read book Performance Comparison of Bond/Call Option and Portfolio Insurance Strategy written by Dan Shao and published by . This book was released on 2008 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to compare the performance of three portfolio insurance strategies which have different theoretical foundations. Although theoretically all of the strategies can protect the portfolio value without losing the chance of enjoying the gains from up movements of the market, the discrepancy between the theory and reality makes this goal hard to achieve. Under realistic assumptions, we conduct simulations to exam the strategy effectiveness with costs involved.
Book Synopsis A Comparative Study of Portfolio Insurance by : Suleyman Basak
Download or read book A Comparative Study of Portfolio Insurance written by Suleyman Basak and published by . This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes a comparative study of portfolio insurance under a variety of modelling strategies. Specifically, we focus on portfolio insurers who drive utility from horizon wealth, with marginal utility tending smoothly to infinity at some pre-specified floor. We solve for the optimal consumption-portfolio-wealth of these portfolio insurers and compare with quot;constrainedquot; portfolio insurers and quot;normal agents.quot; General equilibrium conditions are contrasted under pure-exchange and production-type models. While the market price level is unambiguously increased under pure-exchange, under production the effect on market level is state-dependent. In both models the market volatility and risk premium are decreased by portfolio insurance The paper also investigates the possible relationship between portfolio insurance type trading strategies and market volatility.
Book Synopsis Portfolio Insurance Methods and Products a Comparative Study by : George Ventouratos
Download or read book Portfolio Insurance Methods and Products a Comparative Study written by George Ventouratos and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Insurance by : Robert Ferguson
Download or read book Portfolio Insurance written by Robert Ferguson and published by . This book was released on 1985 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Performance Evaluation of Portfolio Insurance Strategies by : Dima Tawil
Download or read book Performance Evaluation of Portfolio Insurance Strategies written by Dima Tawil and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is set out with the objective of evaluating and comparing the performance of portfolio insurance strategies. We try to figure out when and why one portfolio insurance strategy should be preferred by investors in practice. To meet this objective, main portfolio insurance strategies (OBPI, CPPI, Synthetic put and Stop-loss) are compared relatively to each other and to some benchmark strategies. Portfolio insurance strategies are applied within different implementation scenarios and compared according to various criteria that include:1. The payoff functions, stochastic dominance, the level of protection and the cost of insurance under bull and bear market conditions. 2. Various risk adjusted performance measures that reflect different investors' preferences toward risk and return. 3. The preferences of investors who act according to cumulative prospect theory (CPT). Our results reveal a dominant role of CPPI strategy at the majority of cases and according to the majority of comparison criteria.
Book Synopsis Portfolio Insurance Strategies by : Philippe Bertrand
Download or read book Portfolio Insurance Strategies written by Philippe Bertrand and published by . This book was released on 2014 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). First we examine basic properties of these two strategies and compare them by means of various criteria: comparison of their payoffs, possible property of stochastic dominance, expectations, variances, skewness and kurtosis of their returns, and some of the quantiles of their returns. We prove that the OBPI method can be analyzed as a kind of CPPI where the multiple is allowed to vary. We then study the properties of this varying multiple.In a second section, we analyze more deeply both method's dynamic properties. We turn our attention to the dynamics management involved by these two strategies. Although the pure OBPI do not require any management by the buyer (if the put or call option is available on the market), we can calculate the quot;greeksquot; of its call part. We derive the quot;greeksquot; of the CPPI and show the very different nature of the dynamic properties of the two strategies.
Download or read book The Greenhouse Gas Protocol written by and published by World Business Pub.. This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The GHG Protocol Corporate Accounting and Reporting Standard helps companies and other organizations to identify, calculate, and report GHG emissions. It is designed to set the standard for accurate, complete, consistent, relevant and transparent accounting and reporting of GHG emissions.
Book Synopsis Financial Modeling, Actuarial Valuation and Solvency in Insurance by : Mario V. Wüthrich
Download or read book Financial Modeling, Actuarial Valuation and Solvency in Insurance written by Mario V. Wüthrich and published by Springer Science & Business Media. This book was released on 2013-04-04 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.
Book Synopsis Annual Report by : United States. Housing and Home Finance Agency
Download or read book Annual Report written by United States. Housing and Home Finance Agency and published by . This book was released on 1951 with total page 3190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
