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Document type:
Zeitschriftenaufsatz 
Author(s):
Kraus, J.; Bertrand, P.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Theory of Performance Participation Strategies 
Abstract:
The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance Participation (OBPP) and Constant Proportion Performance Participation (CPPP). In contrast to standard portfolio insurance strategies, like OBPI and CPPI, the minimum guaranteed portfolio value at the end of the investment horizon is not deterministic anymore, but subject to systematic risk instead. More precisely, it...    »
 
Keywords:
investment strategies, performance participation, CPPP, OBPP, CPPI, OBPI 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2011 
Pages contribution:
Reviewed:
nein 
Language:
en 
Notes:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1548384 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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