PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES: EVIDENCE FROM TURKEY

Hakan ER; Hande ERDOGAN AKTAN

Article Details

PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES: EVIDENCE FROM TURKEY

Authors:

Hakan ER | Hande ERDOGAN AKTAN

Publisher:

Sosyal Bilimler Araştırmaları Derneği

Journal:

International Journal of Economics and Finance Studies 2009 Vol.1 Issue 2, pp.35-44

Document Type:

Article

Publication Date:

11/2009

Document Language:

Turkish

Document ID (Org No.):

2000811345

Frequency:

Bi-Annual

eISSN:

1309-8055

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.

Article Details

PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES: EVIDENCE FROM TURKEY

Authors: Hakan ER | Hande ERDOGAN AKTAN

Publisher: Sosyal Bilimler Araştırmaları Derneği

Journal: International Journal of Economics and Finance Studies 2009 Vol.1 Issue 2, pp.35-44

Document Type: Article

Publication Date: 11/2009

Document Language: Turkish

Document ID (Org No.): 2000811345

Frequency: Bi-Annual

eISSN: 1309-8055

Issues

Authors:

Hakan ER | Hande ERDOGAN AKTAN

Publisher:

Sosyal Bilimler Araştırmaları Derneği

Journal:

International Journal of Economics and Finance Studies 2009 Vol.1 Issue 2, pp.35-44

Document Type:

Article

Publication Date:

11/2009

Document Language:

Turkish

Document ID (Org No.):

2000811345

Frequency:

Bi-Annual

eISSN:

1309-8055