The paper analyzes the effectiveness of the constant proportion portfolio insurance (CPPI) method under trading restrictions. If the CPPI method is applied in continuous time, the CPPI strategies provide a value above a floor level unless the price dynamic of the risky asset permits jumps. The...

Long-term portfolios consisting of assets and liabilities often exhibit a significant sensitivity to changes in interest rates. For the management of the interest rate risk arising from such portfolios asset managers usually use duration based approaches like the PV01-method. In the meanwhile...

We use S&P 500 index return data for the time period 1985-2012 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier which...

Model-free implied variance is typically based on the log-contract introduced by Neuberger (1994). From the log-contract there are at least two ways of characterizing the variance of future returns. We analyze the difference between these two approaches in a general semimartingale setup and show...