Evaluating Risk Mitigation Strategies

Risk & Reward, 2018, 2nd issue, pp. 27-31

6 Pages Posted: 30 Aug 2018

See all articles by Harald Lohre

Harald Lohre

Invesco; Centre for Endowment Asset Management, Cambridge Judge Business School, University of Cambridge; Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

David Happersberger

Lancaster University - Department of Accounting and Finance; Invesco

Erhard Radatz

Invesco

Date Written: July 5, 2018

Abstract

Risk mitigation strategies seek to create an asymmetric risk-return profile. But benchmarking against the underlying investment is not a valid approach given the potentially stark difference in risk profiles. We discuss how to appropriately calibrate and assess portfolio insurance strategies based on the ensuing return distribution to better fit a given client’s risk preferences.

Keywords: Portfolio Insurance, CPPI, DPPI

JEL Classification: C58, G11

Suggested Citation

Lohre, Harald and Happersberger, David and Radatz, Erhard, Evaluating Risk Mitigation Strategies (July 5, 2018). Risk & Reward, 2018, 2nd issue, pp. 27-31. Available at SSRN: https://ssrn.com/abstract=3235972

Centre for Endowment Asset Management, Cambridge Judge Business School, University of Cambridge

Cambridge
United Kingdom

HOME PAGE: http://https://www.jbs.cam.ac.uk/faculty-research/centres/ceam/

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/research/research-centres/financial-econometrics/

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

Erhard Radatz

Invesco ( email )

An der Welle 5
Frankfurt am Main, 60322
Germany

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