PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES: EVIDENCE FROM TURKEY

Abstract

In this study, we compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). In prior works, data on many established markets were utilised to investigate this issue. There have also been many empirical studies of portfolio insurance (PI) utilising emerging market data. However, we are not aware of an application PI on Turkish data. This is where our study contributes to PI literature. We use a data set that covers the Istanbul Stock Exchange 30 (ISE-30) stocks, from 1.3.1997 to 29.8.2008. Our main finding is that the implementation of PI (especially CPPI) enhances portfolio performance.

Keywords

• Option Based Portfolio Insurance (OBPI), Constant Proportion Portfolio Insurance (CPPI), Emerging Markets

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