Open Access. Powered by Scholars. Published by Universities.®

Insurance Commons

Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management

2020

Option Based Portfolio Insurance (OBPI)

Articles 1 - 1 of 1

Full-Text Articles in Insurance

Portfolio Insurance Strategies. Parameter Optimization And Comparison Study, Olga Biedova Jan 2020

Portfolio Insurance Strategies. Parameter Optimization And Comparison Study, Olga Biedova

2020

Portfolio insurance strategies are very popular investment solutions that provide an investor with capital protection as well as allow for an equity market participation.

This dissertation focuses on two portfolio insurance strategies: Constant Proportion Portfolio Insurance (CPPI), one of the most popular strategies, and Volatility Target Portfolio Insurance (VTPI), a modified version of an Option Based Portfolio Insurance (OBPI). This dissertation follows a three-paper model.

In paper one, we propose a two-step approach to the numerical optimization of the CPPI main parameter, multiplier. First, we identify an admissible range of the multiplier values by controlling the shortfall probability (chosen as …