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PORTFOLIO INSURANCE STRATEGIES AND THEIR APPLICATIONS

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Mlynarovič V.
Ekonomický časopis (Journal of Economics)
|
2011
|
vol. 59
|
issue 4
355 – 367
EN
At first the paper shortly characterizes basic classes of portfolio insurance strategies that provide the investor an ability to limit downside risk while allowing some participation in upside markets. Then some extensions of discrete Constant Part Portfolio Insurance (CPPI) methods that introduce risk budget, a stop loss rule, locking of the guaranteed value, the asset management fee and risk measures in the multiplier are presented and illustrated. Finally the paper presents a modification of CPPI method for pension funds with moving investment horizons. As the result user procedures in Excel environment that automatize the process of guaranteed strategies construction were developed.
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