کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088855 | 1478332 | 2014 | 47 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Performance evaluation of optimized portfolio insurance strategies
ترجمه فارسی عنوان
ارزیابی عملکرد استراتژی های بیمه پرتفوی بهینه شده
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We use S&P 500 index return data for the time period 1985-2013 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier which depends on the estimated future volatility. Neglecting any inter-temporal hedging demand, the theoretical foundation of the strategies is given by maximizing the expected utility of a HARA investor in a diffusion model setup. If the risk premium is assumed to be proportional to the variance, the optimal strategy is a CPPI strategy. Otherwise, the multiple is time-varying (PPI). It turns out that even time-varying multiple strategies based on a rolling window of historical volatility estimates give a significant improvement of CPPI strategies. The out-performance is robust w.r.t. alternative performance measures and is also true for proportional transaction costs and adequate trigger trading.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 43, June 2014, Pages 212-225
Journal: Journal of Banking & Finance - Volume 43, June 2014, Pages 212-225
نویسندگان
Daniel Zieling, Antje Mahayni, Sven Balder,