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Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs

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  • Farid MKAOUAR
  • Jean-luc PRIGENT

Abstract

Portfolio insurance allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions. This portfolio insurance strategy limits downside risk in falling markets, while it allows pote

Suggested Citation

  • Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-303
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_303.pdf
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    References listed on IDEAS

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    1. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
    2. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    3. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
    4. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
    5. P. Bertrand & J.L. Prigent, 2000. "Portfolio Insurance : The extreme Value of the CCPI Method," THEMA Working Papers 2000-49, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
    7. Artur Sepp, 2004. "Analytical Pricing Of Double-Barrier Options Under A Double-Exponential Jump Diffusion Process: Applications Of Laplace Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 151-175.
    8. Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298, October.
    9. Prigent, J.L., 1997. "Option Pricing with a General Market Point Process," Papers 9736, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    10. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
    11. Hua He & William P. Keirstead & Joachim Rebholz, 1998. "Double Lookbacks," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 201-228, July.
    12. Philippe Bertrand & Jean-Luc Prigent, 2003. "Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic," Post-Print hal-01833118, HAL.
    13. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
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    1. repec:ipg:wpaper:2014-604 is not listed on IDEAS
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    3. repec:ipg:wpaper:2014-509 is not listed on IDEAS
    4. Alex Evans, 2020. "Liquidity Provider Returns in Geometric Mean Markets," Papers 2006.08806, arXiv.org, revised Jul 2020.
    5. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-531 is not listed on IDEAS

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    Keywords

    Portfolio Insurance; CPPI; Lévy processes; risk tolerance; transaction costs.;
    All these keywords.

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