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Title:

Theory of Performance Participation Strategies

Document type:
Zeitschriftenaufsatz
Author(s):
Kraus, J.; Bertrand, P.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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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