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Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy
Company: University of Gothenburg, School of Business, Economics and Law
Year Of Publication: 2011
Month Of Publication: August
Pages: 56
Download Count: 1
View Count: 969
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 6-10-2013
Publisher: Administrator
Summary
This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011, using the Omega measure as the main performance evaluator. Implications of model risk of VBPI are evaluated with a sensitivity analysis focusing on the impacts of alternative estimates of the instantaneous growth rate and volatility of the risky asset. The VBPI suffered severely from model risk.
Author(s)
Jonasardottir, Rosa Sign in to follow this author
Lavstrand, Andreas Sign in to follow this author
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