Bachelor-Arbeit Univ. St. Gallen, 2008.

The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites.

投資組合保險的概念可運用於較不願承受風險或是對於股市走勢不清楚的投資者身上，這種策略既可以保障原本所投資的本金，又可以參與股票市場的上方獲利，一般大眾可以利用投資組合保險策略作為投資的準則之外，投資組合保險的概念更可以運用在退休基金的管理、保本基金的設計上。 本篇論文主要研究的是動態投資組合保險策略：複製性賣權及固定比例投資組合險兩種策略，利用蒙地卡羅模擬法以及台灣股市從民國78年至88年的實際資料來做驗證，投資組合保險策略是可以有效的降低投資者所面對的投資風險，並且提供投資大眾選擇投資組合保險策略時的準則。 從本論文的模擬和實證的結果，可以得到以下的結論： 一、對市場波動度的預期，會影響複製性賣權與固定比例投資組合保險，當市場的波動越大，就須要採用較為保守的策略，才能有較好的保險效果。 二、投資組合保險的績效和景氣的好壞有密切的關係，在市場為大空頭或是大多頭的時候，投資組合保險策略的績效是最好的。 三、投資組合保險的目的雖然不是為了擊敗大盤，但長期平均而言仍然是可以有優於大盤的表現。 四、減少交易成本可以使投資組合保險策略的績效更好。 五、固定比例投資組合保險策略（CPPI），是可依照個人對於風險不同的偏好來量身定作投資組合保險策略，所以一般投資者在運用上較為簡單方便。 六、複製賣權策略可以從事超額保險、完全保險及不足額保險，三種不同的保險方式，可提供投資人另一種選擇，但是要估計市場的波動度、決定投資資產的部位配置等等，並不容易，所以這樣的投資策略是較合適於專業經理人。

Sankt Gallen, Univ., Diss., 2003.

The aim of my Masters thesis is propose the insurance portfolio for legal entity - the Brno based company Úklidový servis ŠKAROUPKA s.r.o. The thesis contains risk analysis and also concept of insurance portfolio that aims to minimaze risks that could limit the company running by the way of insurance product.

This master’s thesis dealts with insurance portfolio for the selected firm. The thesis is divided into 5 main parts. It includes risk analysis and propsal of such insurance portfolio, that can help minimize the most important risks through commercial insurance products, and reduce to the lowest level the threats to those activities.

This thesis deals with the creation of optima insurance protection for the municipality of Malhotice. The work contains the characteristics of the selected municipality and analysis of risks that may cause difficulties. In addition, a comprehensive selection of coverage by commercial insurance products to minimize the risk of the most serious to the least possible risk.

This study examines the use of leveraged exchange traded funds (LETFs) within a portfolio insurance framework to reduce exposure to downside risk. Investors have learned the importance of mitigating this risk having experienced two “once in a century” events in the last 20 years with the tech crash in the early 2000s and the financial crisis in 2008. Current portfolio insurance strategies are either option based (Leland & Rubinstein, 1976) or constant proportional portfolio insurance (CPPI), (Black & Jones, 1987). The cost of option based strategies can be quite high while a CPPI strategy requires constant rebalancing. This study combines the advantages of each by using LETFs to attain the leverage options provide, while at the same time allowing a greater percentage of the portfolio to be invested in bonds since a position in LETFs relative to a typical market index magnifies equity exposure. Thus, where a standard CPPI strategy may require 50% of the portfolio to be invested in equities, using a 3x LETF only requires approximately 16.7%. Results suggest the use of LETFs within a portfolio insurance framework result in better returns, higher Sharpe, Sortino, Omega, and cumulative prospect values while reducing Value at Risk (VaR) and Excess Shortfall below VaR. This twist on the use of LETFs will be of interest to any investor concerned with mitigating downside risk while allowing participation in increasing markets.

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This diploma paper deals with the problems of the suggestion of a complex insurance protection of entrepreneurial subject, which is company HP Konzult Ltd. It contains basic theoretical solutions in the area of the insurance of entrepreneurial subjects, risk analysis, and complex insurance protection to minimize analized risks that threaten company operation.