We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
DO FUTURES-BASED STRATEGIES ENHANCE DYNAMIC PORTFOLIO INSURANCE?
- Authors
Do, Binh Huu; Faff, Robert W.
- Abstract
In this article the authors investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance. The investigation is conducted on the Australian market, over a sample period of 59 non-overlapping quarters from December 1987 to December 2002. Its main contribution is to provide a comprehensive assessment of the two approaches under different market conditions, and the testing of ex ante information as an input into the trading program.
- Subjects
AUSTRALIA; FUTURES; INVESTMENT guaranty insurance; MONEY market; SECURITIES; INVESTMENT analysis
- Publication
Journal of Futures Markets, 2004, Vol 24, Issue 6, p591
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.10125