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Portfolio Insurance Strategies

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.

Identiferoai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/12614809/index.pdf
Date01 September 2012
CreatorsGuleroglu, Cigdem
ContributorsWeber, Gerhard Wilhelm
PublisherMETU
Source SetsMiddle East Technical Univ.
LanguageEnglish
Detected LanguageEnglish
TypeM.S. Thesis
Formattext/pdf
RightsTo liberate the content for METU campus

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