IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Evaluación de fondos de inversión garantizados por medio de portfolio insurance

  • Silvia Bou


    (Departament d'Economia de l'Empresa, Universitat Autonoma de Barcelona)

Foundations for the construction of a performance index lay in the right definition of the risk measure that will be used. This paper proposes a performance measure suitable for guaranteed mutual funds. Given the idiosyncrasy of this kind of mutual funds we first need to define a measure that explains the specific risk characteristics of these portfolios. Starting from a portfolio insurance strategy we define a new measure of risk based on the downside risk. We propose as a measure for downside risk that part of a portfolio’s total risk that can be eliminated implementing portfolio insurance while our measure for upside risk is the part of a portfolio’s total risk that does not disappear using portfolio insurance. In this way the sum of the upside risk and the downside risk is the total risk. Starting from the upside risk measure and the Capital Asset Princing Model we propose a specific performance measure to evaluate guaranteed mutual funds.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: First version, 2003
Download Restriction: no

Paper provided by Department of Business Economics, Universitat Autonoma de Barcelona in its series Working Paper with number 200308.

in new window

Date of creation: Sep 2003
Date of revision:
Handle: RePEc:bbe:wpaper:200308
Contact details of provider: Postal:
08193 Bellaterra (Cerdanyola del Vallès)

Phone: 34 93 581 1209
Fax: 34 93 581 2555
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bbe:wpaper:200308. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Armando Lloro Ayuso)

The email address of this maintainer does not seem to be valid anymore. Please ask Armando Lloro Ayuso to update the entry or send us the correct email address

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.