Evaluating Risk Mitigation Strategies
Risk & Reward, 2018, 2nd issue, pp. 27-31
6 Pages Posted: 30 Aug 2018
Date Written: July 5, 2018
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: Suggested Citation