Sökning: "Andreas Lavstrand"
Hittade 1 uppsats innehållade orden Andreas Lavstrand.
1. Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on the two strategies’ ability to combine downside protection with upside potential, with the Omega measure as the main performance evaluator. LÄS MER
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