Equity portfolio insurance against a benchmark: Setting, replication and optimality
Bahaji, Hamza (2014), Equity portfolio insurance against a benchmark: Setting, replication and optimality, Economic Modelling, 40, p. 382–391. 10.1016/j.econmod.2013.11.031
TypeArticle accepté pour publication ou publié
External document linkhttps://ssrn.com/abstract=2339683
Journal nameEconomic Modelling
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Dauphine Recherches en Management [DRM]
Abstract (EN)This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The paper examines some features of this extension related to its dynamic, its relative risk-reward profile and its static replication. It focuses more specifically on the optimal design of this portfolio strategy in the sense of consumption-investment decision making.
Subjects / KeywordsPortfolio insurance; Equity benchmark; Perpetual exchange options; Utility maximization
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