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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