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https://doi.org/10.1515/bsrj-2016-0005

Constant Proportion Portfolio Insurance Strategy in Southeast European Markets

Elma Agić-Šabeta ; Bosna Bank International, Bosnia and Herzegovina

Puni tekst: engleski, pdf (636 KB) str. 59-80 preuzimanja: 697* citiraj
APA 6th Edition
Agić-Šabeta, E. (2016). Constant Proportion Portfolio Insurance Strategy in Southeast European Markets. Business Systems Research, 7 (1), 59-80. https://doi.org/10.1515/bsrj-2016-0005
MLA 8th Edition
Agić-Šabeta, Elma. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets." Business Systems Research, vol. 7, br. 1, 2016, str. 59-80. https://doi.org/10.1515/bsrj-2016-0005. Citirano 15.06.2021.
Chicago 17th Edition
Agić-Šabeta, Elma. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets." Business Systems Research 7, br. 1 (2016): 59-80. https://doi.org/10.1515/bsrj-2016-0005
Harvard
Agić-Šabeta, E. (2016). 'Constant Proportion Portfolio Insurance Strategy in Southeast European Markets', Business Systems Research, 7(1), str. 59-80. https://doi.org/10.1515/bsrj-2016-0005
Vancouver
Agić-Šabeta E. Constant Proportion Portfolio Insurance Strategy in Southeast European Markets. Business Systems Research [Internet]. 2016 [pristupljeno 15.06.2021.];7(1):59-80. https://doi.org/10.1515/bsrj-2016-0005
IEEE
E. Agić-Šabeta, "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets", Business Systems Research, vol.7, br. 1, str. 59-80, 2016. [Online]. https://doi.org/10.1515/bsrj-2016-0005

Sažetak
Background: In today’s highly volatile and unpredictable market conditions, there are very few investment strategies that may offer a certain form of capital protection. The concept of portfolio insurance strategies presents an attractive investment opportunity. Objectives: The main objective of this article is to test the use of portfolio insurance strategies in Southeast European (SEE) markets. A special attention is given to modelling non-risky assets of the portfolio. Methods/Approach: Monte Carlo simulations are used to test the buy-and-hold, the constant-mix, and the constant proportion portfolio insurance (CPPI) investment strategies. A covariance discretization method is used for parameter estimation of bond returns. Results: According to the risk-adjusted return, a conservative constant mix was the best, the buy-and-hold was the second-best, and the CPPI the worst strategy in bull markets. In bear markets, the CPPI was the best in a high-volatility scenario, whereas the buy-and-hold had the same results in low- and medium-volatility conditions. In no-trend markets, the buy-and-hold was the first, the constant mix the second, and the CPPI the worst strategy. Higher transaction costs in SEE influence the efficiency of the CPPI strategy. Conclusions: Implementing the CPPI strategy in SEE could be done by combining stock markets from the region with government bond markets from Germany due to a lack of liquidity of the government bond market in SEE.

Ključne riječi
investments; portfolio insurance; constant proportion portfolio insurance; Monte Carlo simulations; interest rate models

Hrčak ID: 158301

URI
https://hrcak.srce.hr/158301

Posjeta: 974 *