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.
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1. Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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