Portfolio Insurance Strategies

Lan-chih Ho (), John Cadle and Michael Theobald
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Lan-chih Ho: Central Bank of the Republic of China (Taiwan)
John Cadle: University of Birmingham
Michael Theobald: University of Birmingham

Chapter 62 in Encyclopedia of Finance, 2022, pp 1437-1465 from Springer

Abstract: Abstract A portfolio insurance strategy is a dynamic hedging process that provides the investor with the potential to limit downside risk while allowing participation on the upside so as to maximize the terminal value of a portfolio over a given investment horizon. This chapter firstly introduces the basic concepts and payoffs of a portfolio insurance strategy. Secondly, it describes the theory of alternative portfolio insurance strategies. Thirdly, it provides the market developments of portfolio insurance strategies and real examples of structured products. Fourthly, it addresses the implications of these strategies on the financial market stability. Finally, it empirically compares the performances of various portfolio insurance strategies during different markets and time periods.

Keywords: CPPI; Expected shortfall; OBPI; Value-at-risk (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/978-3-030-91231-4_62

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