Dynamic proportion portfolio insurance, smart beta investing and market impact
Responsable du projet | David Ardia |
Partenaire |
Kris Boudt
Marjan Wauters |
Résumé |
Using a block-bootstrap evaluation framework to simulate historical
performance of CPPIs, we show that combining smart beta and
portfolio insurance is mutually beneficial. It preserves the
improved risk-adjusted performance of the smart beta strategies in
normal market regimes and offers protection against the
non-diversifiable systematic risk of sudden market downturns. |
Mots-clés |
CPPI, portfolio insurance, smart beta |
Type de projet | Recherche appliquée |
Domaine de recherche | Financial econometrics |
Source de financement | FSA, Laval University |
Etat | Terminé |
Début de projet | 1-2014 |
Fin du projet | 1-2016 |
Budget alloué | 17,700 CAD |
Contact | David Ardia |