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Wertsicherungsstrategien für das Asset Management

Author

Listed:
  • Kluß, Norbert
  • Bayer, Marcus
  • Cremers, Heinz

Abstract

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

Suggested Citation

  • Kluß, Norbert & Bayer, Marcus & Cremers, Heinz, 2005. "Wertsicherungsstrategien für das Asset Management," Frankfurt School - Working Paper Series 62, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:62
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    File URL: https://www.econstor.eu/bitstream/10419/27822/1/498525562.PDF
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    More about this item

    Keywords

    static and dynamic portfolio insurance strategy; stop loss strategy; protective put strategy; bond call strategy; synthetic put strategy; covered short call strategy; constant proportion portfolio insurance;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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