【求助】英文文献一篇附件

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Portfolio Insurance: A Comparison of Alternative Strategies

Harry M. Kat

Journal of Financial Engineering, Vol. 2, No. 4, December 1993
Cass Business School Research Paper

Abstract:
In this article we use stochastic simulation methods to study the performance of a number of different dynamic portfolio insurance strategies, including option replicating portfolio insurance (ORPI), constant proportion portfolio insurance (CPPI) and a modified stop-loss (MSLI) strategy. We assume the underlying portfolio to be the S&P 500 tracking portfolio with all dividends reinvested upon receipt. The initial time to maturity is one year. Although the differences are mostly small, our results show that ORPI typically offers more attractive results than CPPI or MSLI. Adjusting the floor rule to lock in intermediate profits or adding a constant horizon feature does not lead to superior results.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=264324#

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