Akademik Veri Yönetim Sistemi
Tezin Türü: Yüksek Lisans
Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Türkiye
Tezin Onay Tarihi: 2012
Tezin Dili: İngilizce
Öğrenci: Çiğdem Güleroğlu
Danışman: GERHARD WİLHELM WEBER
Özet:The selection of investment strategies and managing investment funds via employing portfolio insurance methods play an important role in asset liability management. Insurance strategies are designed to limit downside risk of portfolio while allowing some participation in potential gain of upside markets. In this thesis, we provide an extensive overview and investigation, particularly on the two most prominent portfolio insurance strategies: the Constant Proportion Portfolio Insurance (CPPI) and the Option-Based Portfolio Insurance (OBPI). The aim of the thesis is to examine, analyze and compare the portfolio insurance strategies in terms of their performances at maturity, via some of their statistical and dynamical properties, and of their optimality over the maximization of expected utility criterion. This thesis presents the financial market model in continuous-time containing no arbitrage opportunies, the CPPI and OBPI strategies with definitions and properties, and the analysis of these strategies in terms of comparing their performances at maturity, of their statistical properties and of their dynamical behaviour and sensitivities to the key parameters during the investment period as well as at the terminal date, with both formulations and simulations. Therefore, we investigate and compare optimal portfolio strategies which maximize the expected utility criterion. As a contribution on the optimality results existing in the literature, an extended study is provided by proving the existence and uniqueness of the appropriate number of shares invested in the unconstrained allocation in a wider interval.