Essays about: "Option based portfolio insurance"

Found 2 essays containing the words Option based portfolio insurance.

  1. 1. Investigation of portfolio strategies by means of simulation

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Alexander Schälin; [2022-07-01]
    Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Abstract : 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

  3. 2. Portfolio Protection Strategies: A study on the protective put and its extensions

    University essay from KTH/Matematisk statistik

    Author : Gustav Alpsten; Sercan Samanci; [2018]
    Keywords : ;

    Abstract : The need among investors to manage volatility has made itself painfully clear over the past century, particularly during sudden crashes and prolonged drawdowns in the global equity markets. This has given rise to a liquid portfolio insurance market in the form of options, as well as attracted the attention of many researchers. READ MORE