Investigation of Portfolio Strategies

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dc.contributor.authorBore, Alexander
dc.contributor.departmentChalmers tekniska högskola / Institutionen för teknikens ekonomi och organisationsv
dc.contributor.departmentChalmers University of Technology / Department of Technology Management and Economicsen
dc.date.accessioned2019-07-03T14:24:46Z
dc.date.available2019-07-03T14:24:46Z
dc.date.issued2016
dc.description.abstractThis 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:
dc.identifier.urihttps://hdl.handle.net/20.500.12380/246903
dc.language.isoeng
dc.setspec.uppsokTechnology
dc.subjectGrundläggande vetenskaper
dc.subjectData- och informationsvetenskap
dc.subjectBasic Sciences
dc.subjectComputer and Information Science
dc.titleInvestigation of Portfolio Strategies
dc.type.degreeExamensarbete för masterexamensv
dc.type.degreeMaster Thesisen
dc.type.uppsokH
local.programmeEngineering mathematics and computational science (MPENM), MSc
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