• English
    • svenska
  • svenska 
    • English
    • svenska
  • Logga in
Redigera dokument 
  •   Startsida
  • Student essays / Studentuppsatser
  • Graduate School
  • Master theses
  • Redigera dokument
  •   Startsida
  • Student essays / Studentuppsatser
  • Graduate School
  • Master theses
  • Redigera dokument
JavaScript is disabled for your browser. Some features of this site may not work without it.

Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy

Empirical study of Sweden 1989-2011

Sammanfattning
This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on the two strategies’ ability to combine downside protection with upside potential, with the Omega measure as the main performance evaluator. Furthermore, the empirical implications of the inherent model risk of VBPI are evaluated with a sensitivity analysis focusing on the impacts of alternative estimates of the instantaneous growth rate and volatility of the risky asset. The conclusions of the paper are that the VBPI underperformed relative to CPPI on most performance measures, including Omega, in most scenarios during 1989-2011 and that the VBPI suffered severely from model risk.
Examinationsnivå
Master 2-years
Övrig beskrivning
MSc in Finance
URL:
http://hdl.handle.net/2077/26352
Samlingar
  • Master theses
Fil(er)
gupea_2077_26352_3.pdf (1.942Mb)
Datum
2011-07-21
Författare
Jonasardottir, Rosa
Lavstrand, Andreas
Nyckelord
VaR
Value at Risk
VBPI
CPPI
Portfolio Insurance
Omega
Black-Scholes
Geometric Brownian Motion
Gap risk
Portfolio Management
Expected Net Gain
Serie/rapportnr.
Master Degree Project
2011:159
Språk
eng
Metadata
Visa fullständig post

DSpace software copyright © 2002-2016  DuraSpace
gup@ub.gu.se | Teknisk hjälp
Theme by 
Atmire NV
 

 

Visa

VisaSamlingarI datumordningFörfattareTitlarNyckelordDenna samlingI datumordningFörfattareTitlarNyckelord

Mitt konto

Logga inRegistrera dig

DSpace software copyright © 2002-2016  DuraSpace
gup@ub.gu.se | Teknisk hjälp
Theme by 
Atmire NV