Portfolio Insurance
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Portfolio Insurance
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Author : Donald Luskin
language : en
Publisher: Wiley
Release Date : 1988-03-16
Portfolio Insurance written by Donald Luskin and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-16 with Business & Economics categories.
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.
Portfolio Insurance And Varop A Comparison
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Author : Ralf Hohmann
language : en
Publisher: GRIN Verlag
Release Date : 2021-05-18
Portfolio Insurance And Varop A Comparison written by Ralf Hohmann and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-18 with Business & Economics categories.
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.
Portfolio Insurance Reloaded
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Author : Ralf Hohmann
language : de
Publisher: Springer-Verlag
Release Date : 2018-05-16
Portfolio Insurance Reloaded written by Ralf Hohmann and has been published by Springer-Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-16 with Business & Economics categories.
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.
Option Based Porfolio Insurance Analysis Of Protective Put And Synthetic Put Investment Strategies
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Author : Felix Lütjen
language : en
Publisher: GRIN Verlag
Release Date : 2017-07-24
Option Based Porfolio Insurance Analysis Of Protective Put And Synthetic Put Investment Strategies written by Felix Lütjen and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-24 with Business & Economics categories.
Bachelor Thesis from the year 2016 in the subject Business economics - General, grade: 1.7, University of Frankfurt (Main), language: English, abstract: Risk aversion is a common trait among investors. While it is possible to reduce risk attributed to specific industries and regions by diversifying among different securities, market risk affects all securities on the market. Even a perfectly diversified portfolio is subject to systematic or market risk. It can be managed through diversification across asset classes, for example by shifting some of the funds invested into risk-free assets. For some investors, this yields unsatisfactory results as the expected return directly decreases linearly with an increase in the position in the risk-free asset. Portfolio insurance (PI) describes an alternative set of strategies that allows investors to reduce their exposure to market risk by guaranteeing the value of the portfolio to be above a certain value at the end of the investment period while allowing for participation in rising stock markets. Option-based portfolio insurance (OBPI) refers to a set of strategies in which either a conventional put option (protective put) or a replicated put option (synthetic put) is used to insure a portfolio against adverse price movements. In theory and assuming perfect market conditions, protective put (PP) and synthetic put (SP) yield identical payoffs and have the same cost. In practice, there are several important differences between the two strategies. On the one hand, PP seems to be an easy and uncomplicated strategy to implement, but the unavailability of listed options with desired maturities and strike prices are major issues. SP strategies, on the other hand, can suffer from obstacles like high transaction costs and jumps in stock prices.
A Bootstrap Based Comparison Of Portfolio Insurance Strategies
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Author : Hubert Dichtl
language : en
Publisher:
Release Date : 2014
A Bootstrap Based Comparison Of Portfolio Insurance Strategies written by Hubert Dichtl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
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.
How Option Replicating Portfolio Insurance Works
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Author : Thomas J. O'Brien
language : en
Publisher:
Release Date : 1989
How Option Replicating Portfolio Insurance Works written by Thomas J. O'Brien and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Hedging (Finance) categories.
Algorithms For Portfolio Optimization And Portfolio Insurance
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Author : Markus Rudolf
language : en
Publisher:
Release Date : 1994
Algorithms For Portfolio Optimization And Portfolio Insurance written by Markus Rudolf and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Investment guaranty insurance categories.
Portfolio Insurance An Analysis Of Dynamic Portfolio Insurance Strategies Without Derivatives
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Author : Sandra Bacher
language : en
Publisher:
Release Date : 2013
Portfolio Insurance An Analysis Of Dynamic Portfolio Insurance Strategies Without Derivatives written by Sandra Bacher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Sowohl die Constant Proportion Portfolio Insurance (CPPI) als auch die Time Invariant Portfolio Protection (TIPP) sind die bekanntesten Beispiele für Portfolio Absicherungsstrategien ohne derivative Instrumente. Da beide Strategien bei Privatinvestoren breite Verwendung finden, ist es von besonderem Interesse durch Studien festzustellen, welche der beiden Strategien die erfolgversprechendere Variante darstellt. Dem kommt besonders in Zeiten fallender Aktienkurse, wie zum Beispiel während der Finanzkrise, erhöhte Bedeutung zu, da gerade zu solchen Zeiten Privatinvestoren eine Absicherung ihrer Postfolios anstreben. Um die Möglichkeiten der CPPI und der TIPP Strategien beurteilen zu können, werden sowohl empirische Untersuchungen durchgeführt als auch auf vorhandene Literatur zurückgegriffen. Der Erfolg der Strategien kann anhand der Ermittlung der Downside Risiken und anhand von Performance Kennzahlen beurteilt werden. Somit ist es auch möglich die Forschungsfrage zu beantworten. Die Ergebnisse zeigen, dass für Privatinvestoren die TIPP Strategie zu bevorzugen ist. Die TIPP Strategie entspricht dem Risikoprofil eines Privatinvestors besser und bietet darüber hinaus eine höhere Qualität der Absicherung.*****The constant proportion portfolio insurance (CPPI) as well as the time invariant portfolio protection (TIPP) are the most prominent examples of portfolio insurance strategies without derivatives. Since both strategies are widely used among private investors it is of particular interest to examine which of the two portfolio insurance strategies is the most promising strategy. This applies especially to periods characterized by falling equity markets like during the financial crisis when private investors specifically seek for protection of their portfolios. In order to investigate the potential of the CPPI and the TIPP strategy an empirical analysis as well as secondary research is used. By calculating downside risk and performance measures the success of the strategies can be examined and the research question can be answered. Results show that the TIPP strategy is favorable for private investors. Moreover the TIPP strategy better fits the risk profile of a private investor and offers higher quality of protection.
Portfolio Insurance And Stochastic Bond Prices
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Author : Peter Carr
language : en
Publisher:
Release Date : 1987
Portfolio Insurance And Stochastic Bond Prices written by Peter Carr and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Investment guaranty insurance categories.
Portfolio Insurance A Comparison Of Alternative Strategies
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Author : Jorge Costa
language : en
Publisher:
Release Date : 2013
Portfolio Insurance A Comparison Of Alternative Strategies written by Jorge Costa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.