Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

We examine portfolio asset management under safety constraints that control the probability that the portfolio return falls under a given reference level. We extend previous results of Roy (1952) and Kataoka (1963) that have been proved in a one-period setting to both multiperiod discrete-time...

One of the standard insurance portfolio method is the Constant Proportion Portfolio Insurance (CPPI). Using a quantile hedging approach, this paper provides an upper bound on the standard multiple m. This bound is statistically approximated by applying the extreme value theory to the study of...

This paper examines the optimality of portfolio under insurance constraints on the horizon wealth. A one period model is considered. Portfolio insurers are modelled as expected utilitymaximizing agents. The optimal portfolio is determined forquite general utility functions, stock prices and...

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures take account of the entire return distribution. We show...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets and allows some participation in rising markets. Therefore, these properties prove the importance of such portfolio strategies. The two standard...

This paper deals with the pricing of financial structured products. We examine French retail structured products,“OPCVM à Formule”, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products....

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called quot;Constant Proportion Portfolio Insurancequot; (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method...

We compare performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). First we examine basic properties of these two strategies and compare them by means of various criteria: comparison of...