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Improving the portfolio insurance strategy of Binck Bank : a quantitative analysis of (dynamic) multipliers

Hunsicker, C.F. (2019) Improving the portfolio insurance strategy of Binck Bank : a quantitative analysis of (dynamic) multipliers.

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Abstract:This paper derives and investigates different dynamic proportion portfolio insurance strategies, and compares them to the each other, and the CPPI strategy in terms of risk, return and transaction costs. The strategies and results can be useful to portfolio managers. The performance of the strategies is back-tested with using a rolling analysis. Thereafter, the practical implications, equity allocation, gap risk and validity of the best performing model(s) are assessed. It has been found that the dynamic proportion portfolio insurance strategy with a multiplier based solely on volatility outperforms the other assessed strategies and the original CPPI strategy. Moreover, this strategy has no drawback in terms of gap risk or practical implications.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:31 mathematics, 83 economics
Programme:Industrial Engineering and Management BSc (56994)
Link to this item:http://purl.utwente.nl/essays/79451
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