On the Benefits of Robust Asset Allocation for Cppi Strategies

Schöttle, Katrin

doi:10.1142/9789814280112_0012

Alternative Investments and Strategies 2010

DOI: 10.1142/9789814280112_0012

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On the Benefits of Robust Asset Allocation for Cppi Strategies

Katrin Schöttle¹

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Cited by 3 publications

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Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Agić-Šabeta¹

2016

Business Systems Research Journal

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Background: In today's highly volatile and unpredictable market conditions, there are very few investment strategies that may offer a certain form of capital protection. The concept of portfolio insurance strategies presents an attractive investment opportunity. Objectives: The main objective of this article is to test the use of portfolio insurance strategies in Southeast European (SEE) markets. A special attention is given to modelling non-risky assets of the portfolio. Methods/Approach: Monte Carlo simulations are used to test the buy-and-hold, the constant-mix, and the constant proportion portfolio insurance (CPPI) investment strategies. A covariance discretization method is used for parameter estimation of bond returns. Results: According to the risk-adjusted return, a conservative constant mix was the best, the buy-and-hold was the second-best, and the CPPI the worst strategy in bull markets. In bear markets, the CPPI was the best in a high-volatility scenario, whereas the buy-and-hold had the same results in low-and medium-volatility conditions. In no-trend markets, the buy-and-hold was the first, the constant mix the second, and the CPPI the worst strategy. Higher transaction costs in SEE influence the efficiency of the CPPI strategy. Conclusions: Implementing the CPPI strategy in SEE could be done by combining stock markets from the region with government bond markets from Germany due to a lack of liquidity of the government bond market in SEE.

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Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Agić-Šabeta¹

2016

Business Systems Research Journal

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Constant Proportion Portfolio Insurance Under Regime Switching Exponential L evy Process

Weng

2012

SSRN Journal

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Discrete-Time CPPI Under Transaction Cost and Regime Switching

Weng

2014

SSRN Journal

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On the Benefits of Robust Asset Allocation for Cppi Strategies

Cited by 3 publications

References 17 publications

Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Constant Proportion Portfolio Insurance Under Regime Switching Exponential L evy Process

Discrete-Time CPPI Under Transaction Cost and Regime Switching

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