Equity portfolio insurance against a benchmark: Setting, replication and optimality

Hamza Bahaji

Economic Modelling, 2014, vol. 40, issue C, 382-391

Abstract: 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.

Keywords: Portfolio insurance; Equity benchmark; Perpetual exchange options; Utility maximization (search for similar items in EconPapers)
JEL-codes: C60 G11 G24 L10 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999313005348
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:40:y:2014:i:c:p:382-391

DOI: 10.1016/j.econmod.2013.11.031

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().