Static Allocation Decisions in the Presence of Portfolio Insurance

This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns.


Felix GoltzSenior

Research Engineer, EDHEC Risk and Asset Management Research Centre

Lionel Martellini

Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre

Koray D. Simsek

Associate Professor of Finance, EDHEC Business School

The results obtained using Monte Carlo analysis show that investors should allocate between 45% and 63% of their portfolio to such portfolio insurance strategies. Moreover, the inclusion of portfolio insurance strategies leads to important utility gains. Our results are robust with respect to the choice of the objective, the presence of realistic levels of market friction, heterogeneous expectations on volatility, and various parametric assumptions.
Static Allocation Decisions in the Presence of Portfolio Insurance...
(-1.00 B)
Type: Working paper
Date: le 04/05/2009
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault, Direction de la recherche de l'EDHEC [ ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

See Also

EDHEC INTERNATIONAL BBA live on Campus Channel
- 18-01-2019
On December 17, 2018, Campus Channel received our EDHEC INTERNATIONAL BBA director,...
- 16-01-2019
The fifth step of the Wide Open Project – a world tour of “positive ecosystems” – was...
How guest speaker talks provides unfiltered market insights?
- 11-01-2019
Eloi Foulon, MSc in Global & Sustainable Business student, shares his reaction to...
Scientific Beta named
- 09-01-2019
Scientific Beta is pleased to announce that it has won the prestigious Risk Award for "...