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Wednesday, August 4 • 1:00pm - 2:30pm
7E1 Rank Portfolio Insurance Strategies: An Almost Stochastic Dominance Approach

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Hsuan Fu, Université Laval

This paper examines whether a buy-and-hold strategy outperforms a portfolio insurance strategy for most risk-averse investors. We further compare the performance among stop-loss, synthetic put and constant proportion portfolio insurance. A utility-based nonparametric performance measure, almost stochastic dominance, is adopted. To apply the measure, we establish statistical estimation and tests, which could take into consideration time dependency. We find that buy-and-hold strategy significantly outperforms all of the portfolio insurance strategies under a two year investment horizon. Among the portfolio insurance strategies, synthetic put is the most appealing, followed by constant proportion, and stop-loss is the least preferred.

Discussant
TJ

Tim Jaeger

Universitaet Hamburg

Presenters
HF

Hsuan Fu

Assistant Professor, Université Laval



Wednesday August 4, 2021 1:00pm - 2:30pm EDT

Attendees (6)