Portfolio insurance strategies : a comparison of OBPI versus CPPI

• Main Authors: Chen, Xinyi, Zhang, Jenny Bi Zhen, Liu, Xinyi
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/46453
• Institution: Nanyang Technological University

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...