Abstract:
This study aims to introduce and make a comparison between the most popular strategies of portfolio insurance.
After an initial introduction about the birth and evolution during the years of the portolio insurance practice this work will explain under the mathematical point of view the laws that lead the OBPI, CPPI, Buy-and-Hold and Constant Mix strategies.
The last part with the use of matlab and the Monte Carlo simulation wants to examine three strategies (OBPI, CPPI, SLPI) taking in consideration the moments of the distribution, performance ratios and the stochastic dominance in different conditions of the market and considering an underlying asset that follows a Brownian motion, at the end the strategies will be applied to three different stock indices to understand the real effects and situations in financial markets.
My work studies the possible best decision for a manager or an investor that want to invest using a portfolio insurance strategy.
