Optimal Portfolios with Guarantee at Maturity: Computation and Comparison

被引：0
|
作者：
Prigent, Jean-Luc [1 ]
Tahar, Fabrice [1 ]
机构：
[1] Univ Cergy, THEMA, 33 bd Port, F-95011 Cergy, France
来源：
INTERNATIONAL JOURNAL OF BUSINESS | 2006年 / 11卷 / 02期
关键词：
Portfolio optimization; Guarantee; Power options;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio Insurance (CPPI). We analyse options on cushion associated to CPPI. This kind of Power options corresponds in particular to the solution of a portfolio optimization problem in which an additional guarantee constraint must be satisfied at maturity. We also compare this strategy with the standard OBPI method
引用
收藏
页码：171 / 185
页数：15
相关论文
共 50 条
  • [1] COMPUTATION OF OPTIMAL PORTFOLIOS
    ZIEMBA, WT
    ECONOMETRICA, 1971, 39 (04) : 242 - &
  • [2] Effects of maturity choices on loan-guarantee portfolios
    Gendron, Michel
    Lai, Van Son
    Soumare, Issouf
    JOURNAL OF RISK FINANCE, 2006, 7 (03) : 237 - 254
  • [3] Optimal bond portfolios with fixed time to maturity
    Andersson, Patrik
    Lageras, Andreas N.
    INSURANCE MATHEMATICS & ECONOMICS, 2013, 53 (02): : 429 - 438
  • [4] OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES
    Kopeliovich, Yaacov
    ANNALS OF FINANCIAL ECONOMICS, 2015, 10 (02)
  • [5] Monte Carlo computation of optimal portfolios in complete markets
    Cvitanic, J
    Goukasian, L
    Zapatero, F
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2003, 27 (06): : 971 - 986
  • [6] Optimal Energy Consumption for Communication, Computation, Caching, and Quality Guarantee
    Zafari, Faheem
    Li, Jian
    Leung, Kin K.
    Towsley, Don
    Swami, Ananthram
    IEEE TRANSACTIONS ON CONTROL OF NETWORK SYSTEMS, 2020, 7 (01): : 151 - 162
  • [7] Computation of optimal portfolios using simulation-based dimension reduction
    Boyle, Phelim
    Imai, Junichi
    Tan, Ken Seng
    INSURANCE MATHEMATICS & ECONOMICS, 2008, 43 (03): : 327 - 338
  • [8] Comparison of optimal portfolios with and without subsistence consumption constraints
    Shin, Yong Hyun
    Lim, Byung Hwa
    NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS, 2011, 74 (01) : 50 - 58
  • [9] Optimal Energy Tradeoff among Communication, Computation and Caching with QoI-Guarantee
    Zafari, Faheem
    Li, Jian
    Leung, Kin K.
    Towsley, Don
    Swami, Ananthram
    2018 IEEE GLOBAL COMMUNICATIONS CONFERENCE (GLOBECOM), 2018,
  • [10] Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
    Nteukam, Oberlain T.
    Planchet, Frederic
    Therond, Pierre-E.
    INSURANCE MATHEMATICS & ECONOMICS, 2011, 48 (02): : 161 - 175
12345