Risk management of time varying floors for dynamic portfolio insurance

2018 ◽  
Vol 269 (1) ◽  
pp. 363-381 ◽  
Author(s):  
H. Ben Ameur ◽  
J.-L. Prigent
Keyword(s):  
Risk Management ◽  
Time Varying ◽  
Portfolio Insurance ◽  
Dynamic Portfolio

scholarly journals Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Energies ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 294 ◽  
Author(s):  
Xiaojing Cai ◽  
Shigeyuki Hamori ◽  
Lu Yang ◽  
Shuairu Tian
Keyword(s):  
Risk Management ◽  
Crude Oil ◽  
Stock Markets ◽  
East Asian ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Time Varying ◽  
Risk Hedging ◽  
Long Run ◽  
East Asian Stock Markets

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

Risk management and dynamic portfolio selection with stable Paretian distributions

2010 ◽  
Vol 17 (2) ◽  
pp. 195-211 ◽  
Author(s):  
Sergio Ortobelli ◽  
Svetlozar T. Rachev ◽  
Frank J. Fabozzi
Keyword(s):  
Risk Management ◽  
Portfolio Selection ◽  
Dynamic Portfolio

scholarly journals Model for Dynamic Multiple of CPPI Strategy

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Guangyuan Xing ◽  
Yong Xue ◽  
Zongxian Feng ◽  
Xiaokang Wu
Keyword(s):  
Risk Management ◽  
Capital Market ◽  
Statistical Estimation ◽  
Composite Index ◽  
Asset Returns ◽  
Time Varying ◽  
Dynamic Setting ◽  
Asset Volatility ◽  
Value Loss ◽  
Gap Risk

Focusing on the parameter “Multiple” of CPPI strategy, this study proposes a dynamic setting model of multiple for gap risk management purpose. First, CPPI gap risk is measured as the probability that the value loss of active asset exceeds its allowed maximum drop determined by a given multiple setting. Moreover, according to the statistical estimation using SV-EVT approach, a dynamic choice of multiple is detailed as a function of time-varying asset volatility, expected loss, and the possibility of occurrence of extreme events in the active asset returns illustrated empirically on Shanghai composite index data. This study not only enriches the literature of dynamic proportion portfolio insurance, but also provides a practical reference for CPPI investors to choose a moderate risky exposure achieving gap risk management, which promotes CPPI’s application in emerging capital market.

scholarly journals Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach

Economies ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 119
Author(s):  
Robiyanto Robiyanto ◽  
Bayu Adi Nugroho ◽  
Andrian Dolfriandra Huruta ◽  
Budi Frensidy ◽  
Suyanto Suyanto
Keyword(s):  
Stock Return ◽  
Investment Risk ◽  
Time Varying ◽  
Portfolio Risk ◽  
Basic Assumptions ◽  
Dynamic Portfolio ◽  
Sustainable Investment ◽  
Reduce Risk ◽  
Sustainable Investments

This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance. Therefore, the method used in this research, DCC-GARCH, was relaxing the basic assumptions in the theory of modern portfolio that is under the assumption of the normality of stock return and securities would have constant correlation. This research used data such as SRI-KEHATI Index (SKI) and Jakarta Islamic Index (JII) in Indonesia as a proxy for sustainable investments. Additionally, this research used gold from 2013 to 2019. This study is able to provide evidence regarding the ability of a dynamic portfolio to minimize the level of portfolio risk. However, this led a lower rate of return. Based on the OLS regression, gold is also proven as a weak safe haven for sustainable investment in Indonesia. Investors who believe in ethical investment may include gold in this time-varying approach when formulating the portfolio to reduce risk significantly. The inclusion of gold in portfolios could produce hedging effectiveness. Overall, this study supports some previous findings regarding the ability of gold as an instrument, which could reduce investment risk if involved in a portfolio.

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