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 |