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Why is Portfolio Insurance Attractive to Investors?

Vrecko, Dennis - 2009

This paper examines whether and how the popularity of portfolio insurance strategies can be justified theoretically. The analysis employs three different return generating processes with and without stochastic volatility and jumps. We find that an investor with constant relative risk aversion...

Persistent link: https://www.econbiz.de/10013153296

Regime-Dependent Smile-Adjusted Delta Hedging

Alexander, Carol - 2011

consistently and significantly improve on implied BSM delta hedging, for options of all moneyness and maturities and whether … rebalancing is daily, weekly or fortnightly. For most options and over all hedging horizons the regime-dependent smile …Most research on option hedging has compared the performance of delta hedges derived from different stochastic …

Persistent link: https://www.econbiz.de/10013132922

What is the impact of stock market contagion on an investor's portfolio choice?

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009

Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...

Persistent link: https://www.econbiz.de/10009764762

Optimal Portfolios when Variances and Covariances can Jump

Branger, Nicole - 2017

variance-covariance hedging demands significantly. Furthermore, we show that the utility gains from market completeness are …

Persistent link: https://www.econbiz.de/10012972045

Correlation Risk and International Portfolio Choice

Branger, Nicole - 2018

risk and returns that characterize the domestic and the foreign investment opportunity sets. Optimal portfolios and hedging …

Persistent link: https://www.econbiz.de/10012936289

Pricing and Upper Price Bounds of Relax Certificates

Branger, Nicole - 2010

Relax certificates are written on multiple underlying stocks. Their payoff depends on a barrier condition and is thus path-dependent. As long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at...

Persistent link: https://www.econbiz.de/10013141496