In English

Investigation of Portfolio Strategies

Alexander Bore
Göteborg : Chalmers tekniska högskola, 2016. 52 s.
[Examensarbete på avancerad nivå]

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:

Publikationen registrerades 2017-01-13. Den ändrades senast 2017-01-13

CPL ID: 246903

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