Written on 28 June 2019.
Daniel Mantilla, EDHEC PhD (2011), Assistant Professor of Finance at the Universidad de Los Andes and Research Associate at EDHEC-Risk Institute presented on 26 June 26 2019 his latest research “Assets' Dependence Structure Implications for Portfolio Insurance Strategies Performance”, at the 28th Annual Meeting of the European Financial Management Association (EFMA).
In this paper, Daniel Mantlla and his co-authors Enrique ter Horst, German Molina and Emilien Audeguil, explore the implications of taking into account the expected co-movements of the performance-seeking asset (PSA) and the benchmark asset for the estimation of the multiplier of the portfolio insurance strategies.
His full paper is available here
Keywords: Tracking error, extreme risk management, copulas, portfolio insurance
Daniel joined academia 2 years ago after several years in positions as Head of Research in the Finance industry.