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...

The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a multiperiod double tracking er...

We present a framework for managing international investment portfolios. There are two different risk factors affecting this problem; the market risk and the currency risk. We develop models that address these risk factors in an integrated manner. Our framework has three fundamental components. The first component is the scenario generation procedure. The scenarios are generated so that the fir...

Over the last half decade, asset flows into hedge funds have surged, the number of funds has expanded exponentially, and new products have emerged which allow investors to obtain hedge fund exposure via structured transactions. To many, this is due to a paradigm shift in investment management and constitutes a modern financial revolution. However, to others, hedge funds are simply investment st...