Investigation of Portfolio Strategies

Typ
Examensarbete för masterexamen
Master Thesis
Program
Engineering mathematics and computational science (MPENM), MSc
Publicerad
2016
Författare
Bore, Alexander
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
This thesis creates a model for simulating stocks and interest rates to compare portfolio strategies. The two portfolio strategies used in the thesis are CPPI and OBPI. CPPI (constant proportion portfolio insurance) is a dynamic strategy that changes the amount in the risky asset and the safe asset at every timestep. OBPI (option based portfolio insurance) is a static strategy that invest an amount in the stock and the put option. It is found out that OBPI performs better in a decreasing market and that CPPI performs better in an increasing market. The model used in this thesis can be seen as an extended Black-Scholes model. The stock will be modelled as a NIG (normal inverse Gaussian) with GARCH as stochastic volatility. The interest rate is modelled by a CIR (Cox, Ingersoll and Ross) model. There are some problems with this model, but it is better than the Black-Scholes model. Keywords:
Beskrivning
Ämne/nyckelord
Grundläggande vetenskaper , Data- och informationsvetenskap , Basic Sciences , Computer and Information Science
Citation
Arkitekt (konstruktör)
Geografisk plats
Byggnad (typ)
Byggår
Modelltyp
Skala
Teknik / material
Index