Wertsicherungsstrategien für das Asset Management

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio byprogressively selling stocks and buy safe, short-term debt securities as stock prices fall. Thispaper analyzes the current static and dynamic methods in use and explains their pros andcons.

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Year of publication:	2005-03-01
Authors:	Kluß, Norbert ; Bayer, Markus ; Cremers, Heinz
Institutions:	Frankfurt School of Finance & Management
Subject:	Portfolio Selection \| Risikomanagement \| risk management \| Portfolio Insurance \| Änderungsrisiko \| Estimation risk \| Anlagenwirtschaft \| asset management

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1 Einleitung
2 Motivation und Zielsetzung von Wertsicherungsstrategien
3 Statische Modelle
3.1 Stop-loss-Strategie
3.2 Protective-put-Strategie
3.3 Bond-call-Strategie
4 Dynamische Modelle
4.1 Synthetic-put-Strategie
4.2 Rollierende covered-short-call-Strategie
4.3 Constant-proportion-portfolio-insurance-Strategie
5 Resümee
6 Literaturverzeichnis

Persistent link: https://www.econbiz.de/10005865781