Portfolio insurance strategies : a comparison of OBPI versus CPPI
This paper provides a performance evaluation of the option-based portfolio insurance (OBPI) using a synthetic put and constant proportion portfolio insurance (CPPI) technique against a passive buy-and-hold strategy. Our study seeks to clarify the effectiveness of portfolio insurance strategies as su...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/46453 |
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| Institution: | Nanyang Technological University |
| Language: | English |