Portfolio Insurance Strategies: OBPI versus CPPI

Bertrand, Philippe; Prigent, Jean‐Luc

doi:10.2139/ssrn.299688

Cited by 59 publications

(72 citation statements)

References 9 publications

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“…The put option has the same maturity T as the portfolio and its strike price W is the predefined floor. The basic overview of OBPI can be found in [3].…”

Section: Portfolio Insurance With Guaranteed Floormentioning

confidence: 99%

Dynamic portfolio optimization with risk management and strategy constraints

Krommerová¹,

Melicherčík²

2015

Kybernetika

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“…The put option has the same maturity T as the portfolio and its strike price W is the predefined floor. The basic overview of OBPI can be found in [3].…”

Section: Portfolio Insurance With Guaranteed Floormentioning

confidence: 99%

Dynamic portfolio optimization with risk management and strategy constraints

Krommerová¹,

Melicherčík²

2015

Kybernetika

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“…For the portfolio insurance strategies, Bertrand and Prigent [8] proved that the stochastic dominance at the first order is a too strong condition, meaning that neither the CPPI nor the OBPI dominates the other strategy for this criterion 2 . However, as proved theoretically by Zagst and Kraus [10], stochastic dominance of portfolio insurance strategies can be obtained mainly from the third order.…”

Section: Introductionmentioning

confidence: 99%

On the Stochastic Dominance of Portfolio Insurance Strategies

Maalej¹,

Prigent²

2016

JMF

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This paper compares the performance of the two main portfolio insurance strategies, namely the Option-Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). For this purpose, we use the stochastic dominance approach. We provide several explicit sufficient conditions to get stochastic dominance results. When taking account of specific constraints, we use the consistent statistical test proposed by Barret and Donald [1]. It is similar to the KolmogrovSmirnov test with a complete set of restrictions related to the various forms of stochastic dominance. We find that the CPPI method can perform better than the OBPI one at the third order stochastic dominance.

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“…With the aim of offering to their subscribers a predefined performance in any event in addition to the guarantee of initial capital, insurers use these funds to boost the bond market performance which is characterized by its relatively low yields. Indeed, structured products allow investors to take advantage of the risky asset rises, while being exposed only partially to market drops (see Bertrand and Prigent, 2005). The combination of basic assets gives birth to new assets with very specific characteristics whose evaluation appears very complex.…”

Section: Introductionmentioning

confidence: 99%

Behaviour towards Risk in Structured Portfolio Management

Ameur¹,

Prigent²

2010

IJEF

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We examine the optimal design of financial structured portfolios (equity or index linked notes) within the rank dependent utility framework. We illustrate how these products can be in accordance to investor's attitude towards risk, whereas, for the standard expected utility case, they do not match investor's preferences. These financial products usually involve derivative instruments which allow investors to benefit from capital protection and minimal participation when markets are bullish.

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Portfolio Insurance Strategies: OBPI versus CPPI

Cited by 59 publications

References 9 publications

Dynamic portfolio optimization with risk management and strategy constraints

Dynamic portfolio optimization with risk management and strategy constraints

On the Stochastic Dominance of Portfolio Insurance Strategies

Behaviour towards Risk in Structured Portfolio Management

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