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Titel:

Stochastic Dominance of Portfolio Insurance Strategies - OBPI versus CPPI

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Zagst, R.; Kraus, J.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
Annals of Operations Research
Jahr:
2011
Band / Volume:
185
Heft / Issue:
1
Seitenangaben Beitrag:
75-103
Reviewed:
ja
Sprache:
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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