Capital protected structured products are popular with both investors and investment banks. A number of strategies ranging in complexity and cost exist that provide a minimum guaranteed payoff at maturity. In this paper the performance of Constant Proportion Portfolio Insurance (CPPI), a major strategy in the market, is evaluated against two simple strategies: a risk-free and a gapless investme...

Capital protected structured products are popular with both investors and investment banks. A number of strategies ranging in complexity and cost exist that provide a minimum guaranteed payoff at maturity. In this paper the performance of Constant Proportion Portfolio Insurance (CPPI), a major strategy in the market, is evaluated against two simple strategies: a risk-free and a gapless investme...

In this study, we show how a dynamic insurance program can be implemented within a mean-variance framework. The approach combines elements of the single period safety first idea suggested by Telser and developed by Leibowitz with multiperiod insurance strategies like CPPI and TIPP. The insurance program allows the user to set a probability of hitting a specified floor or target and also allows ...

An improved method for measuring and testing long-run returns is proposed. The method adjusts for the right-skewed distribution of long-run buy-and-hold by decomposing average crosssectional buy-and-hold returns into mean components and volatility components. The method is applied to initial public offerings in Denmark. The mean-component under performance of initial public offering stocks comp...

A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This approximation is based on controlling the proportions of wealth invested in the ...

Accurate stock trend prediction is a difficult job because various intricate and complex factors affect changes in price, trading volume and trends of a stock market. On a macro scale, the factors could be the overall global economic environment, industry trends, individual economic environment (business operation and competitors’ development), the amount of floating capital in the market, etc....

This paper investigated three different pairs trading strategies: the usual baseline (linear) approach, copulas method, and machine learning technique. We selected two equity indexes, Russell 2000 (RUT) S&P400 (SP400), for trading. It is found that most significant reasons financial companies employ are either its stable nature or profitability. In addition, during a recession session (eg. ...

We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold and the value of a forward contract to match the buy-and-hold strategy, even if the underlying follows strict local martingale dynamics. More precisely, we discuss a change of numéraire (change of currency) technique when the underlying is only a local martingale ...