An Empirical Analysis of Alternative Portfolio Insurance Strategies in International Asset Management
| Author | : Jot Kai Hong Yau |
| Publisher | : |
| Total Pages | : 390 |
| Release | : 1988 |
| Genre | : Portfolio management |
| ISBN | : |
An Empirical Analysis Of Alternative Portfolio Insurance Strategies In International Asset Management
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Encyclopedia of Finance
| Author | : Cheng-Few Lee |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 861 |
| Release | : 2006-07-27 |
| Genre | : Business & Economics |
| ISBN | : 0387262849 |
This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Alternative Investments And Strategies
| Author | : Rudiger Kiesel |
| Publisher | : World Scientific |
| Total Pages | : 414 |
| Release | : 2010-06-18 |
| Genre | : Business & Economics |
| ISBN | : 9814467332 |
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Alternative Investments: A Primer for Investment Professionals
| Author | : Donald R. Chambers |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 122 |
| Release | : 2018 |
| Genre | : Business & Economics |
| ISBN | : 1944960384 |
Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
Post Modern Investment
| Author | : Garry B. Crowder |
| Publisher | : John Wiley & Sons |
| Total Pages | : 349 |
| Release | : 2012-11-08 |
| Genre | : Business & Economics |
| ISBN | : 1118483855 |
Debunking outdated and inaccurate beliefs about investment management and reveals the new realities of the post-modern financial markets There have been a lot of big changes in the investment world over the past decade, and many long-cherished beliefs about the structures and performance of various investments no longer apply. Unfortunately the news seems not to have reached many thought leaders and investment professionals who persist in trying, and failing, to apply 20th-century thinking to 21st-century portfolio management. Nowhere is this more true than when it comes to the subject of alternative investments. Written by an all-star team of investment management experts, this book debunks common myths and misconceptions about most classes of alternative investments and offers valuable advice on how to develop investment management and asset allocation strategies consistent with the new realities of the ever-changing world of alternative investments. Covers most alternative asset classes, including private equity, real estate, managed futures, hedge funds, commodity indices, and more Debunks long-held assumptions about the structure and performance of various investment classes that continue to dominate the industry Explores the implications for investment managers of the proliferation of international marketable securities and global financial markets Provides an overview of both the micro and the macro aspects of each alternative investment class
Portfolio Insurance -- A Comparison of Alternative Strategies
| Author | : Jorge Costa |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This study makes a comparison between the most popular strategies of Portfolio Insurance based on Monte Carlo simulation. This work aims to define the best strategy at comparing different strategies and provide a contribution to solving some divergences in literature. Most of the previous comparisons do not take into consideration all the strategies discussed in this study and this analysis intends to add some relevant findings.The OBPI, CPPI and SLPI strategies are evaluated in terms of moments of the distribution, performance ratios (Sharpe ratio, Sortino ratio, Omega ratio and Upside Potential ratio) and stochastic dominance in different market conditions represented by an underlying asset that follows a geometric Brownian motion. In order to have a perception of a real situation in financial markets, the strategies are later also applied to three major stock indices (S&P 500, DJ EuroStoxx 50 and Nikkei 225).We find that CPPI 1 and SLPI strategies should be preferred in all scenarios according to the higher performance ratios, the higher expected returns and other measures. The choice between them is based on the preferences of the investor or manager, but we also find that the CPPI 1 strategy stochastically dominates, on second and third order, the others strategies in bear market scenarios. From our results we can state that a value of 100% for the floor should be preferred in terms of performance ratios, expected returns and other measures. This comparison allows improving the efficiency of decision making of an investor or manager in a Portfolio Insurance investment.
Option-Based Porfolio Insurance. Analysis of Protective Put and Synthetic Put Investment Strategies
| Author | : Felix Lütjen |
| Publisher | : GRIN Verlag |
| Total Pages | : 35 |
| Release | : 2017-07-24 |
| Genre | : Business & Economics |
| ISBN | : 3668490163 |
Bachelor Thesis from the year 2016 in the subject Business economics - General, grade: 1.7, University of Frankfurt (Main), language: English, abstract: Risk aversion is a common trait among investors. While it is possible to reduce risk attributed to specific industries and regions by diversifying among different securities, market risk affects all securities on the market. Even a perfectly diversified portfolio is subject to systematic or market risk. It can be managed through diversification across asset classes, for example by shifting some of the funds invested into risk-free assets. For some investors, this yields unsatisfactory results as the expected return directly decreases linearly with an increase in the position in the risk-free asset. Portfolio insurance (PI) describes an alternative set of strategies that allows investors to reduce their exposure to market risk by guaranteeing the value of the portfolio to be above a certain value at the end of the investment period while allowing for participation in rising stock markets. Option-based portfolio insurance (OBPI) refers to a set of strategies in which either a conventional put option (protective put) or a replicated put option (synthetic put) is used to insure a portfolio against adverse price movements. In theory and assuming perfect market conditions, protective put (PP) and synthetic put (SP) yield identical payoffs and have the same cost. In practice, there are several important differences between the two strategies. On the one hand, PP seems to be an easy and uncomplicated strategy to implement, but the unavailability of listed options with desired maturities and strike prices are major issues. SP strategies, on the other hand, can suffer from obstacles like high transaction costs and jumps in stock prices.
Portfolio Insurance - An Analysis of Dynamic Portfolio Insurance Strategies Without Derivatives
| Author | : Sandra Bacher |
| Publisher | : |
| Total Pages | : 88 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Sowohl die Constant Proportion Portfolio Insurance (CPPI) als auch die Time Invariant Portfolio Protection (TIPP) sind die bekanntesten Beispiele für Portfolio Absicherungsstrategien ohne derivative Instrumente. Da beide Strategien bei Privatinvestoren breite Verwendung finden, ist es von besonderem Interesse durch Studien festzustellen, welche der beiden Strategien die erfolgversprechendere Variante darstellt. Dem kommt besonders in Zeiten fallender Aktienkurse, wie zum Beispiel während der Finanzkrise, erhöhte Bedeutung zu, da gerade zu solchen Zeiten Privatinvestoren eine Absicherung ihrer Postfolios anstreben. Um die Möglichkeiten der CPPI und der TIPP Strategien beurteilen zu können, werden sowohl empirische Untersuchungen durchgeführt als auch auf vorhandene Literatur zurückgegriffen. Der Erfolg der Strategien kann anhand der Ermittlung der Downside Risiken und anhand von Performance Kennzahlen beurteilt werden. Somit ist es auch möglich die Forschungsfrage zu beantworten. Die Ergebnisse zeigen, dass für Privatinvestoren die TIPP Strategie zu bevorzugen ist. Die TIPP Strategie entspricht dem Risikoprofil eines Privatinvestors besser und bietet darüber hinaus eine höhere Qualität der Absicherung.*****The constant proportion portfolio insurance (CPPI) as well as the time invariant portfolio protection (TIPP) are the most prominent examples of portfolio insurance strategies without derivatives. Since both strategies are widely used among private investors it is of particular interest to examine which of the two portfolio insurance strategies is the most promising strategy. This applies especially to periods characterized by falling equity markets like during the financial crisis when private investors specifically seek for protection of their portfolios. In order to investigate the potential of the CPPI and the TIPP strategy an empirical analysis as well as secondary research is used. By calculating downside risk and performance measures the success of the strategies can be examined and the research question can be answered. Results show that the TIPP strategy is favorable for private investors. Moreover the TIPP strategy better fits the risk profile of a private investor and offers higher quality of protection.
The Principles of Alternative Investments Management
| Author | : Ewelina Sokołowska |
| Publisher | : Springer |
| Total Pages | : 194 |
| Release | : 2015-06-24 |
| Genre | : Business & Economics |
| ISBN | : 3319132156 |
The purpose of this book is to present the principles of alternative investments in management. The individual chapters provide a detailed analysis of various classes of alternative investments on the financial market. Despite many different definitions of alternative investments, it can be assumed that a classical approach to alternative investments includes hedge funds, fund of funds (FOF), managed accounts, structured products and private equity/venture capital. Alternative investment in keeping with this broad definition is the subject of consideration here. The theoretical part of each chapter is meant to collect, systematize and deepen readers’ understanding of a given investment category, while the practical part of each focuses on an analysis of the current state of development of alternative investments on the global market and outlines the prospects of future market development. This book will be a valuable tool for scholars, practitioners and policy-makers alike.
Alternative Investments
| Author | : CFA Institute |
| Publisher | : John Wiley & Sons |
| Total Pages | : 675 |
| Release | : 2021-11-24 |
| Genre | : Business & Economics |
| ISBN | : 1119850606 |
The complete guide to alternative investments, from experts working with CFA Institute Alternative Investments is the definitive guide to understanding non-traditional asset classes. Alternatives are a disparate group of investments that are distinguished from long-only, publicly traded investments in stocks, bonds, and cash (often referred to as traditional investments). Alternative investments include real estate, commodities, infrastructure, and other non-traditional investments such as private equity or debt and hedge funds. They are attractive to investors because of the potential for portfolio diversification resulting in a higher risk-adjusted return for the portfolio. Alternative Investments and its accompanying workbook (sold separately) lead students and investment professionals through the many characteristics of non-traditional assets, including: Narrow specialization of the investment managers Relatively low correlation of returns with those of traditional investments Less regulation and less transparency than traditional investments Limited historical risk and return data Unique legal and tax considerations Higher fees, often including performance or incentive fees Concentrated portfolios Restrictions on redemptions (i.e. “lockups” and “gates”) CFA Institute is the world's premier association for investment professionals, and the governing body for the CFA® Program, CIPM® Program, CFA Institute ESG Investing Certificate, and Investment Foundations® Program. Those seeking a deeper understanding of the markets, mechanisms, and use of alternatives will value the level of expertise CFA Institute brings to the discussion, providing a clear, comprehensive resource for students and professionals alike. Whether used alone or in conjunction with the companion workbook, Alternative Investments offers a complete course in alternative investments and their role in investment management.
