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OBPI and CPPIYang, Sheng-Hsia 11 July 2004 (has links)
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Performance evaluation of portfolio insurance strategies / L'évaluation de la performance des stratégies d'assurance de portefeuilleTawil, Dima 10 November 2015 (has links)
Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par des modèles à changements de régime markovien. 2. Les mesures de la performance ajustée au risque qui peuvent refléter les préférences des investisseurs vis-à-vis du risque et de la rentabilité. 3. Les préférences des investisseurs en intégrant la théorie cumulative des perspectives (TCP). Nos résultats semblent mettre en évidence une dominance des stratégies CPPI dans la majorité des cas et pour la majorité des critères de comparaison. / This thesis is set out with the objective of evaluating and comparing the performance of portfolio insurance strategies. We try to figure out when and why one portfolio insurance strategy should be preferred by investors in practice. To meet this objective, main portfolio insurance strategies (OBPI, CPPI, Synthetic put and Stop-loss) are compared relatively to each other and to some benchmark strategies. Portfolio insurance strategies are applied within different implementation scenarios and compared according to various criteria that include:1. The payoff functions, stochastic dominance, the level of protection and the cost of insurance under bull and bear market conditions. 2. Various risk adjusted performance measures that reflect different investors’ preferences toward risk and return. 3. The preferences of investors who act according to cumulative prospect theory (CPT). Our results reveal a dominant role of CPPI strategy at the majority of cases and according to the majority of comparison criteria.
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Portfolio Insurance StrategiesGuleroglu, Cigdem 01 September 2012 (has links) (PDF)
The selection of investment strategies and managing investment funds via employing portfolio
insurance methods play an important role in asset liability management. Insurance strategies
are designed to limit downside risk of portfolio while allowing some participation in potential
gain of upside markets. In this thesis, we provide an extensive overview and investigation,
particularly on the two most prominent portfolio insurance strategies: the Constant Proportion
Portfolio Insurance (CPPI) and the Option-Based Portfolio Insurance (OBPI).
The aim of the thesis is to examine, analyze and compare the portfolio insurance strategies in
terms of their performances at maturity, via some of their statistical and dynamical properties,
and of their optimality over the maximization of expected utility criterion.
This thesis presents the financial market model in continuous-time containing no arbitrage
opportunies, the CPPI and OBPI strategies with definitions and properties, and the analysis
of these strategies in terms of comparing their performances at maturity, of their statistical
properties and of their dynamical behaviour and sensitivities to the key parameters during the
investment period as well as at the terminal date, with both formulations and simulations.
Therefore, we investigate and compare optimal portfolio strategies which maximize the expected utility criterion. As a contribution on the optimality results existing in the literature,
an extended study is provided by proving the existence and uniqueness of the appropriate
number of shares invested in the unconstrained allocation in a wider interval.
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