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>>>Equity Portfolio Insurance Against a Benchmark: Setting, Replication and Optimality.

05 February 2014

Equity Portfolio Insurance Against a Benchmark: Setting, Replication and Optimality.

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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