Wertsicherungsstrategien für das Asset Management

Norbert Kluß, Marcus Bayer and Heinz Cremers

No 62, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio by progressively selling stocks and buy safe, short-term debt securities as stock prices fall. This paper analyzes the current static and dynamic methods in use and explains their pros and cons.

Keywords: static and dynamic portfolio insurance strategy; stop loss strategy; protective put strategy; bond call strategy; synthetic put strategy; covered short call strategy; constant proportion portfolio insurance (search for similar items in EconPapers)
JEL-codes: G10 G11 G19 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:62

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