Portfolio Insurance Techniques
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Author |
: Cheng-Few Lee |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 861 |
Release |
: 2006-07-27 |
ISBN-10 |
: 9780387262840 |
ISBN-13 |
: 0387262849 |
Rating |
: 4/5 (40 Downloads) |
Synopsis Encyclopedia of Finance by : Cheng-Few Lee
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.
Author |
: Jean-Luc Prigent |
Publisher |
: |
Total Pages |
: 12 |
Release |
: 2003 |
ISBN-10 |
: OCLC:1290388355 |
ISBN-13 |
: |
Rating |
: 4/5 (55 Downloads) |
Synopsis Portfolio Insurance Strategies by : Jean-Luc Prigent
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.
Author |
: Giovanni Fuganti |
Publisher |
: |
Total Pages |
: 53 |
Release |
: 2011 |
ISBN-10 |
: OCLC:837944534 |
ISBN-13 |
: |
Rating |
: 4/5 (34 Downloads) |
Synopsis Portfolio Insurance Techniques by : Giovanni Fuganti
Author |
: Donald Luskin |
Publisher |
: Wiley |
Total Pages |
: 322 |
Release |
: 1988-03-16 |
ISBN-10 |
: 0471858498 |
ISBN-13 |
: 9780471858492 |
Rating |
: 4/5 (98 Downloads) |
Synopsis Portfolio Insurance by : Donald Luskin
Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.
Author |
: Philippe Bertrand |
Publisher |
: |
Total Pages |
: |
Release |
: 2008 |
ISBN-10 |
: OCLC:1291134752 |
ISBN-13 |
: |
Rating |
: 4/5 (52 Downloads) |
Synopsis Portfolio Insurance Strategies by : Philippe Bertrand
Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets and allows some participation in rising markets. Therefore, these properties prove the importance of such portfolio strategies. The two standard portfolio insurance methods are the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI).The paper analyzes and compares their performances and risk characteristics by means of various criteria such as some of their quantiles. Their dynamic hedging properties are also examined in the Black and Scholes framework. In particular, the paper shows that the insured percentage of the initial capital plays a key role. It isalso proved that OBPI is a generalized CPPI.
Author |
: Ralf Hohmann |
Publisher |
: GRIN Verlag |
Total Pages |
: 23 |
Release |
: 2021-05-18 |
ISBN-10 |
: 9783346408686 |
ISBN-13 |
: 334640868X |
Rating |
: 4/5 (86 Downloads) |
Synopsis Portfolio Insurance and VaRoP. A Comparison by : Ralf Hohmann
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.
Author |
: Ralf Hohmann |
Publisher |
: Springer-Verlag |
Total Pages |
: 63 |
Release |
: 2018-05-16 |
ISBN-10 |
: 9783658221256 |
ISBN-13 |
: 3658221259 |
Rating |
: 4/5 (56 Downloads) |
Synopsis Portfolio Insurance reloaded by : Ralf Hohmann
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.
Author |
: Jan Annaert |
Publisher |
: |
Total Pages |
: 29 |
Release |
: 2007 |
ISBN-10 |
: OCLC:1290319425 |
ISBN-13 |
: |
Rating |
: 4/5 (25 Downloads) |
Synopsis Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria by : Jan Annaert
The continuing creation of portfolio insurance applications as well as the mixed research evidence suggests that so far no consensus has been reached about the effectiveness of portfolio insurance. Therefore, this paper provides a performance evaluation of the stop-loss, synthetic put and constant proportion portfolio insurance techniques based on a block-bootstrap simulation. Apart from more traditional performance measures, we consider the Value-at-risk and Expected Shortfall of the strategies, which are more appropriate in an insurance context. An additional performance evaluation is given by means of the stochastic dominance framework where we account for sampling error. A sensitivity analysis is performed in order to examine the impact on performance of a change in a specific decision variable (ceteris paribus). The results indicate that a buy-and-hold strategy does not dominate the portfolio insurance strategies at any stochastic dominance order. Moreover, both for the stop-loss and synthetic put strategy a 100% floor value outperforms lower floor values. For the CPPI strategy we find that a higher CPPI multiple enhances the upward potential of the CPPI strategies, but harms the protection level in return. As regards the optimal rebalancing frequency, daily rebalancing should be preferred for the synthetic put and CPPI strategy, despite the higher transaction costs.
Author |
: Hakan Er |
Publisher |
: |
Total Pages |
: |
Release |
: 2014 |
ISBN-10 |
: OCLC:1308944956 |
ISBN-13 |
: |
Rating |
: 4/5 (56 Downloads) |
Synopsis Performance of Portfolio Insurance Strategies by : Hakan Er
In this study, we compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). In prior works, data on many established markets were utilised to investigate this issue. There have also been many empirical studies of portfolio insurance (PI) utilising emerging market data. However, we are not aware of an application PI on Turkish data. This is where our study contributes to PI literature. We use a data set that covers the Istanbul Stock Exchange 30 (ISE-30) stocks, from 1.3.1997 to 29.8.2008. Our main finding is that the implementation of PI (especially CPPI) enhances portfolio performance.
Author |
: Harry M. Kat |
Publisher |
: |
Total Pages |
: |
Release |
: 2002 |
ISBN-10 |
: OCLC:1291253787 |
ISBN-13 |
: |
Rating |
: 4/5 (87 Downloads) |
Synopsis Portfolio Insurance by : Harry M. Kat
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.