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Author: Ralf Hohmann Publisher: Springer-Verlag ISBN: 3658221259 Category : Business & Economics Languages : de Pages : 63
Book Description
Dieses essential gibt einen Überblick zu aktuellen Erscheinungsformen der Portfolio Insurance sowie zur Anwendbarkeit der Constant-Proportion-Portfolio-Insurance mit vielfältigen Finanztiteln auf unterschiedlichen Geld- und Kapitalmärkten. Die empirische Untersuchung mit historischen Daten dazu umfasst einen Zeitraum von über sechs Jahren und ist in diesem Umfang ohne Vergleich. Die Darstellung und Vorgehensweise im Rahmen der Strategie erfolgt detailliert und wird mit Beispielen zur Replizierbarkeit unterstützt. Gleiches gilt für die empirischen Ergebnisse der unterschiedlichen Ergebnisse und der jeweiligen Finanztitel, die mit der Portfolio Insurance geschützt werden. Als Ergebnis wird deutlich, dass Transaktionskosten keinen wesentlichen Einfluss auf das Ergebnis der Strategien haben, negative Zinssätze jedoch den Erfolg maßgeblich negativ beeinflussen können.
Author: Rama Cont Publisher: ISBN: Category : Languages : en Pages : 27
Book Description
Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple of the quot;cushion,quot; the difference between the current portfolio value and the guaranteed amount. Whereas in diffusion models with continuous trading, this strategy has no downside risk, in real markets this risk is non-negligible and grows with the multiplier value. We study the behavior of CPPI strategies in models where the price of the underlying portfolio may experience downward jumps. Our framework leads to analytically tractable expressions for the probability of hitting the floor, the expected loss and the distribution of losses. This allows to measure the gap risk but also leads to a criterion for adjusting the multiplier based on the investor's risk aversion. Finally, we study the problem of hedging the downside risk of a CPPI strategy using options. The results are applied to a jump-diffusion model with parameters estimated from returns series of various assets and indices.
Author: Ralf Hohmann Publisher: Springer-Verlag ISBN: 3658221259 Category : Business & Economics Languages : de Pages : 63
Book Description
Dieses essential gibt einen Überblick zu aktuellen Erscheinungsformen der Portfolio Insurance sowie zur Anwendbarkeit der Constant-Proportion-Portfolio-Insurance mit vielfältigen Finanztiteln auf unterschiedlichen Geld- und Kapitalmärkten. Die empirische Untersuchung mit historischen Daten dazu umfasst einen Zeitraum von über sechs Jahren und ist in diesem Umfang ohne Vergleich. Die Darstellung und Vorgehensweise im Rahmen der Strategie erfolgt detailliert und wird mit Beispielen zur Replizierbarkeit unterstützt. Gleiches gilt für die empirischen Ergebnisse der unterschiedlichen Ergebnisse und der jeweiligen Finanztitel, die mit der Portfolio Insurance geschützt werden. Als Ergebnis wird deutlich, dass Transaktionskosten keinen wesentlichen Einfluss auf das Ergebnis der Strategien haben, negative Zinssätze jedoch den Erfolg maßgeblich negativ beeinflussen können.
Author: Cathrine Jessen Publisher: ISBN: Category : Languages : en Pages :
Book Description
A practical implementation of constant proportion portfolio insurance (CPPI) strategies must inevitably take market frictions into account. I study a CPPI in a setting with trading costs, fees and borrowing restrictions, and relax the assumption of continuous portfolio rebalancing. The main goals are to cover issuer's gap risk and to maximize CPPI performance according to investor's preferences over possible multipliers: the proportionality factor that determines the risky exposure of a CPPI. Investment objectives are described by the Sortino ratio and alternatively by an S-shaped utility function known from behavioral finance. Investors with either objective will choose a lower multiplier than if CPPI performance is measured by the expected return. Discrete-time trading requires a portfolio rebalancing rule, which affects both performance and gap risk. Two commonly applied strategies, rebalancing at equidistant time steps and rebalancing based on fixed market moves, are compared to a new rule, which takes trading costs into account. While the new and the market-based rules deliver similar CPPI performance, the new rebalancing rule achieves this by fewer trading interventions. Issuer's gap risk can be covered by a fee charge, by hedging or by an artificial floor. A new approach to determine the artificial floor is introduced. All three methods reduce losses from gap events effectively at only a small cost to the investor.
Author: Mingming Wang Publisher: ISBN: Category : Electronic Dissertations Languages : en Pages : 168
Book Description
The concept of Constant Proportion Portfolio Insurance (CPPI) in terms of jump-diffusion, as well as the associated mean-variance hedging problem, has been studied. Three types of risk related to: the probability of loss, the expected loss, and the loss distribution are being analyzed. Both the discrete trading time case and the continuous trading time case have been studied. Next, CPPI with stochastic dynamic floors are being discussed. The concept of exponential proportion portfolio insurance is being introduced. Finally CPPI associated with the fractional Brownian market is being studied.
Author: Alice Buccioli Publisher: ISBN: Category : Languages : en Pages : 37
Book Description
CPPI strategies are popular as they allow to gear up the upside potential of a stock index while limiting its downside risk. From the issuer's perspective it is important to adequately assess the risks associated with the CPPI, both in order to charge the correct “gap” fee and for risk management. The literature on CPPI modeling typically assumes diffusive or Lévy-driven dynamics for the risky asset underlying the strategy. In either case the self-contagious nature of asset prices is not taken into account. In order to account for contagion while preserving analytical tractability, we introduce self-exciting jumps in the underlying dynamics via Hawkes processes. Within this framework we derive the loss probability when trading is performed continuously. Moreover, we estimate measures of the risk involved in the practical implementation of discrete-time rebalancing rules governing the CPPI product. When rebalancing is performed on a frequency less than weekly, failing to take contagion into account will significantly underestimate the risks of the CPPI. Finally, in order to mimic a situation with low liquidity, we impose a daily trading cap on the risky asset and find that the Hawkes process driven models give rise to the highest risk measures even under daily rebalancing.
Author: Ralf Hohmann
Author: Rama Cont
Author: Ralf Hohmann
Author: Cathrine Jessen
Author: Anil Khuman
Author: Mingming Wang
Author: Fischer Black
Author: Alice Buccioli
Author: Geoffrey H. Kingston
Author: Koon-Kam Johney Lee
Author: Geoffrey H. Kingston