Evaluación de fondos de inversión garantizados por medio de portfolio insurance

Sílvia Bou Ysàs ()
Additional contact information
Sílvia Bou Ysàs: Departament d'Economia de l'Empresa, Universitat Autònoma de Barcelona

No 308, Working Papers from Departament Empresa, Universitat Autònoma de Barcelona

Abstract: Foundations for the construction of a performance index lay in the right definition of the risk measure that will be used. This paper proposes a performance measure suitable for guaranteed mutual funds. Given the idiosyncrasy of this kind of mutual funds we first need to define a measure that explains the specific risk characteristics of these portfolios. Starting from a portfolio insurance strategy we define a new measure of risk based on the downside risk. We propose as a measure for downside risk that part of a portfolio’s total risk that can be eliminated implementing portfolio insurance while our measure for upside risk is the part of a portfolio’s total risk that does not disappear using portfolio insurance. In this way the sum of the upside risk and the downside risk is the total risk. Starting from the upside risk measure and the Capital Asset Princing Model we propose a specific performance measure to evaluate guaranteed mutual funds.

Keywords: Performance; Medidas de riesgo; Portfolio insurance o protección de carteras. (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2003-09, Revised 2003-09
References: Add references at CitEc
Citations:

Published in Working Papers at the Department of Business, September 2003 pages 1-38

Downloads: (external link)
http://www.uab.cat/servlet/BlobServer?blobtable=Do ... 927&blobnocache=true Revised version, 2003 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 No Encontrado (http://www.uab.cat/servlet/BlobServer?blobtable=Document&blobcol=urldocument&blobheader=application/pdf&blobkey=id&blobwhere=1345650537927&blobnocache=true [301 Moved Permanently]--> https://www.uab.cat/servlet/BlobServer?blobtable=Document&blobcol=urldocument&blobheader=application/pdf&blobkey=id&blobwhere=1345650537927&blobnocache=true)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbe:wpaper:0308

Access Statistics for this paper

More papers in Working Papers from Departament Empresa, Universitat Autònoma de Barcelona
Bibliographic data for series maintained by Departament Empresa ().