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Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Author

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  • Agić-Šabeta Elma

    (Bosna Bank International, Bosnia and Herzegovina)

Abstract

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.

Suggested Citation

  • Agić-Šabeta Elma, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, vol. 7(1), pages 59-80, March.
  • Handle: RePEc:bit:bsrysr:v:7:y:2016:i:1:p:59-80
    DOI: 10.1515/bsrj-2016-0005
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    References listed on IDEAS

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    3. 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.
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    More about this item

    Keywords

    investments; portfolio insurance; constant proportion portfolio insurance; Monte Carlo simulations; interest rate models;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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