Theory and Practice of Portfolio Insurance
Risk & Reward, 2017, 2nd issue, pp. 4-9
8 Pages Posted: 7 Jul 2017
Date Written: June 13, 2017
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: Suggested Citation