Στρατηγικές ασφάλισης χαρτοφυλακίων
Portfolio insurance strategies
Μαρίνη, Αγγελική Α.
The investment risk management is a very basic and important issue in financial both theoretical and practical level. The importance also of management of investment risks or market risks generally emphasized in the strongest way during the financial crisis of 2007-10, where risk management strategies unsuccessful applications resulted in many credit and insurance institutions to fail or from failing an important part of their obligations. An important aspect of risk management is the portfolio insurance, which examines ways to protect the value of the investment portfolio to a potential drop in market prices. In this thesis we will see how we can insure a portfolio using derivatives and specifically with options, with two different strategies: the Constant Proportion Portfolio Insurance (CPPI) and Option Based Portfolio Insurance (OBPI). The objective of this work is to understand and to compare these two strategies and see which one has the best behavior when we want to evaluate the value in the middle of the period of insurance. We will start quoting and explaining basic concepts related to stock options (what is it, how we priced them and what we can do with them) and then we will describe and analyze the portfolio insurance strategies. Making one Monte Carlo simulation, we will generate random values (under certain conditions) for underlying instrument upon which we invest and then we will see the impact on the insurance that we would do in our portfolio in the middle of the review period. We will create some possible scenarios regarding the volatility in price of the underlying security, the return and the strike price to be set. Finally we will see that in the end, OBPI attaches little better the CPPI in the middle of our season if both start with the same initial value and same strike price for the call option, even if there is relatively little or a little more volatility in the market or if the return is expected either positive or negative. We will also see that even though the two strategies start with the same cost, but different strike price, then the OBPI again yields a little better than the CPPI with only one exception. If the volatility is relatively high then the CPPI overrides OBPI.