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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R.; Kraus, J. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI 
Abstract:
The purpose of this article is to analyze and compare two standard portfolio insurance methods: Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio Insurance (CPPI). Various stochastic dominance criteria up to third order are considered. We derive parameter conditions implying the second- and third-order stochastic dominance of the CPPI strategy. In particular, restrictions on the CPPI multiplier resulting from the spread between the (usually higher) implied volatility and...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Annals of Operations Research 
Year:
2011 
Journal volume:
185 
Journal issue:
Pages contribution:
75-103 
Reviewed:
ja 
Language:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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