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Portfolio Insurance Strategies and their Applications

In: Ekonomický časopis/Journal of Economics, vol. 59, no. 4
Vladimír Mlynarovič
Detaily:
Rok, strany: 2011, 355 - 367
Kľúčové slová:
portfolio insurance, CPPI, multipliers, lock in value, moving horizon
Typ článku: Vedecký článok / Article
O článku:
At first the paper shortly characterizes basic classes of portfolio insurance strategies that provide the investor an ability to limit downside risk while allowing some participation in upside markets. Then some extensions of discrete Constant Part Portfolio Insurance (CPPI) methods that introduce risk budget, a stop loss rule, locking of the guaranteed value, the asset management fee and risk measures in the multiplier are presented and illustrated. Finally the paper presents a modification of CPPI method for pension funds with moving investment horizons. As the result user procedures in Excel environment that automatize the process of guaranteed strategies construction were developed.
At first the paper shortly characterizes basic classes of portfolio insurance strategies that provide the investor an ability to limit downside risk while allowing some participation in upside markets. Then some extensions of discrete Constant Part Portfolio Insurance (CPPI) methods that introduce risk budget, a stop loss rule, locking of the guaranteed value, the asset management fee and risk measures in the multiplier are presented and illustrated. Finally the paper presents a modification of CPPI method for pension funds with moving investment horizons. As the result user procedures in Excel environment that automatize the process of guaranteed strategies construction were developed.
Ako citovať:
ISO 690:
Mlynarovič, V. 2011. Portfolio Insurance Strategies and their Applications. In Ekonomický časopis/Journal of Economics, vol. 59, no.4, pp. 355-367. 0013-3035.

APA:
Mlynarovič, V. (2011). Portfolio Insurance Strategies and their Applications. Ekonomický časopis/Journal of Economics, 59(4), 355-367. 0013-3035.