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Article Dans Une Revue Economic Modelling Année : 2014

Equity portfolio insurance against a benchmark: Setting, replication and optimality

Résumé

This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The paper examines some features of this extension related to its dynamic, its relative risk-reward profile and its static replication. It focuses more specifically on the optimal design of this portfolio strategy in the sense of consumption-investment decision making.
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Dates et versions

hal-01455395 , version 1 (03-02-2017)

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Hamza Bahaji. Equity portfolio insurance against a benchmark: Setting, replication and optimality. Economic Modelling, 2014, 40, ⟨10.1016/j.econmod.2013.11.031⟩. ⟨hal-01455395⟩
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