Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions

Naceur Naguez and Jean-Luc Prigent

No 2014-329, Working Papers from Department of Research, Ipag Business School

Abstract: The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the "Constant Proportion Port- folio Insurance " (CPPI) method by allowing the multiple to vary. We illustrate our theoretical results f

Keywords: Portfolio insurance; CPPI; Hedge funds; Johnson distribution, gap risk, VaR, CVaR. (search for similar items in EconPapers)
JEL-codes: C6 G11 G24 L10 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ias, nep-ore and nep-rmg
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