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Titel:

Theory of Performance Participation Strategies

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kraus, J.; Bertrand, P.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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...     »
Stichworte:
investment strategies, performance participation, CPPP, OBPP, CPPI, OBPI
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
working paper
Jahr:
2011
Seitenangaben Beitrag:
-
Reviewed:
nein
Sprache:
en
Hinweise:
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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