Theoretical foundations of constant-proportion portfolio insurance
نویسندگان
چکیده
منابع مشابه
On Path–dependency of Constant Proportion Portfolio Insurance strategies
This paper evaluates the path–dependency/independency of the most widespread Portfolio Insurance strategies. In particular, we look into various Constant Proportion Portfolio Insurance (CPPI) structures and compare them to the classical Option Based Portfolio Insurance (OBPI) and with naive strategies such as Stop-loss Portfolio Insurance (SLPI). The paper is based upon conditional Monte Carlo ...
متن کاملConstant Proportion Portfolio Insurance: Statistical Properties and Practical Implications
Constant Proportion Portfolio Insurance (CPPI) is a dynamic portfolio management strategy that is currently of popular interest in both industry and academic research. The CPPI methodology is designed to guarantee, to the buyer, a minimum payoff at maturity using a portfolio comprised only of one risky asset and one riskless asset. The goal is to allow an amount of participation in capital mark...
متن کاملSub-optimality of Threshold and Constant Proportion Portfolio Insurance Strategies in Defined Contribution Pension Plans
The threshold and constant proportion portfolio insurance (CPPI) strategies are considered for their application in managing defined-contribution (DC) pension plans. The pension plans invest in two types of asset, riskless asset and stocks, or bonds and stocks. When the objective of pension plan is to maximize expected terminal utility that is a function of terminal pension wealth with final wa...
متن کاملConstant Proportion Portfolio Insurance in presence of Jumps in Asset Prices
Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple m > 1 of the cushion, the difference between the current portfolio value and the guaranteed amount. In diffusion models with continuous trading, this strategy has no downside risk, whereas in real m...
متن کاملFoundations of Portfolio Theory
When I studied microeconomics forty years ago, I was first taught how optimizing firms and consumers would behave, and then taught the nature of the economic equilibrium which would result from such behavior. Let me refer to this as part one and part two of my microeconomics course. My work on portfolio theory considers how an optimizing investor would behave, whereas the work by Sharpe and Lin...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 1989
ISSN: 0165-1765
DOI: 10.1016/0165-1765(89)90214-0