Essays about: "Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy"

Found 1 essay containing the words Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy.

  1. 1. Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy

    University essay from Göteborgs universitet/Graduate School

    Author : Rosa Jonasardottir; Andreas Lavstrand; [2011-07-21]
    Keywords : VaR; Value at Risk; VBPI; CPPI; Portfolio Insurance; Omega; Black-Scholes; Geometric Brownian Motion; Gap risk; Portfolio Management; Expected Net Gain;

    Abstract : This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on the two strategies’ ability to combine downside protection with upside potential, with the Omega measure as the main performance evaluator. READ MORE