Essays about: "Constant proportion portfolio insurance"
Found 4 essays containing the words Constant proportion portfolio insurance.
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1. Investigation of portfolio strategies by means of simulation
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE
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2. 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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3. CPPI Structures on Funds Derivatives
University essay from KTH/Matematisk statistikAbstract : Abstract With the ever-increasing complexity of financial markets and financial products, many investors now choose to benefit from a manager’s expertise by investing in a fund. This fueled a rapid growth of the fund industry over the past decades, and the recent emergence of complex derivatives products written on underlying funds. READ MORE
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4. Algorithmic Portfolio Rebalancing: A Test of the Efficient Market Hypothesis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis aims at testing the Efficient Market Hypothesis (EMH) by implementing and evaluating four distinct algorithms (Universal Portfolio, Exponentiated Gradient, Anticor and Constant Proportion Portfolio Insurance) for automated rebalancing of fixed-asset portfolios based on the past performance of the individual assets included in the portfolio. If the EMH holds, technical analysis such as algorithm based investments should not be able to generate abnormal returns without introducing abnormal risk. READ MORE