𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Defining and Evaluating Portfolio Insurance Strategies

✍ Scribed by Harold Bierman, Jr.

Book ID
124187834
Publisher
CFA Institute
Year
1988
Tongue
English
Weight
451 KB
Volume
44
Category
Article
ISSN
0015-198X

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## Abstract In this paper we investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The investigation is conducted on the Australian market, over a sample period of 59 non‐overlapping quarters