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Theory and Practice of Portfolio Insurance

Risk & Reward, 2017, 2nd issue, pp. 4-9

8 Pages Posted: 7 Jul 2017

See all articles by Martin Kolrep

Martin Kolrep

Invesco

Harald Lohre

Robeco Quantitative Investments; Lancaster University Management School

David Happersberger

Lancaster University - Department of Accounting and Finance; Invesco

Date Written: June 13, 2017

Abstract

To limit the maximum loss of a portfolio, investment strategies can be enhanced by adding a portfolio insurance component. We have analyzed various portfolio insurance strategies – from the static stop-loss concept to option-based strategies and dynamic portfolio insurance strategies. The findings suggest that an active approach on the basis of dynamic risk forecasts is an effective alternative.

Keywords: Portfolio insurance, risk forecasting, CPPI, DPPI, Stop loss, Synthetic Put

JEL Classification: C58, G11

Suggested Citation

Kolrep, Martin and Lohre, Harald and Happersberger, David, Theory and Practice of Portfolio Insurance (June 13, 2017). Risk & Reward, 2017, 2nd issue, pp. 4-9, Available at SSRN: https://ssrn.com/abstract=2996965

Martin Kolrep

Invesco ( email )

Harald Lohre (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3011 AG
Netherlands

Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/people/harald-lohre

David Happersberger

Lancaster University - Department of Accounting and Finance ( email )

Lancaster, Lancashire LA1 4YX
United Kingdom

Invesco

An der Welle 5
Frankfurt am Main, 60322
Germany

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