• Rupture de stock

A Caviar Time-Varying Proportion Portfolio Insurance [extrait BMI 102]

47,39 €
Quantité
Add to wishlist
Rupture de stock

Version numérique PDF

Leland and Rubinstein (1976) have shown that an optional asymmetric performance structure can be attained using portfolio insurance strategies. Thanks to dynamic allocation strategies, insured portfolios are protected against large falls by a contractually guaranteed predetermined fl oor and take partial advantage of market performances. The Constant Proportion Portfolio Insurance (CPPI) introduced by Black and Jones (1987) and Perold and Sharpe (1988) is a dynamic asset allocation strategy between a risky asset and a risk free one that aims to maintain a constant risk exposure. The covered portfolio benefi ts from market rallies and is theoretically protected against market crashes by a predefi ned guaranteed fl oor. The investor limits her downside risk and participates in a given proportion to the market increase.

Auteurs :
Extrait de la revue BMI 102

BMI102-1098335
Nouveau

16 autres produits dans la même catégorie :

Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire


  • The Investment Policy of Canadian Pension Funds: Evolution and current issues
  • Investor over- and underreaction to earnings announcements: AN EXPERIMENTAL STUDY
  • Abstracts BM N°97
  • The Benefits of Hedge Funds in Asset-Liability Management
This website uses cookies to ensure you get the best experience on our website