Evaluation of the optimal investment portfolio insurance strategy (OBPI)
Article Sidebar
THIS IS AN OPEN ACCESS ARTICLE UNDER THE CC BY LICENSE
Main Article Content
Abstract
The research aims to evaluate the investment portfolio insurance strategy that is based on OBPI options. The aim of using this strategy is to find new solutions to allow investors to reduce the risk of falling stock prices that make up the portfolio while benefiting from profits when they rise. The research community consisted of all companies listed in the Iraq Stock Exchange, which amounted to 133 companies. The research sample was chosen, which consists of 42 companies belonging to various economic sectors and listed in the Iraq Stock Exchange for a period of (85 months), i.e. the period extended from 3/17/ 2015-17/3/2022. The researcher used a number of financial and statistical models. The research reached a number of conclusions, the most important of which is the superiority of the performance of the combined put option strategy on the market portfolio and the uninsured efficient portfolio. Therefore, the researcher suggests the need to educate investors and dealers in the Iraq Stock Exchange about the importance of applying the OBPI strategy in order to manage the risks they are exposed to.
Downloads
Article Details
References
اولاً. المصادر العربية:
العلي، أسعد حميد عبيد، تحويط المحفظة الكفؤة بإطار نظرية الخيارات: دراسة تطبيقية في سوق بغداد للأوراق المالية، أطروحة دكتوراه في ادارة الأعمال، كلية الإدارة والاقتصاد، الجامعة المستنصرية، 2002.
ثانياً. المصادر الأجنبية:
Agic-Sabeta, Elma, Portfolio Insurance Investment Strategies: A Risk-Management Tool, Utms Journal of Economics, vol.8, no.2, 2017.
Aisyah, Siti & Nasution, Hamidah, Application of The Single Index ModelIn the Establishment of a PortfolioStock Optimization, ZERO: Jurnal Sains, Matematika dan Terapan, Vol. 5, No. 2, 2021.
Annaert, Jan & Van Osselaer, Sofieke & Verstraete, Bert, Performance Evaluation Of Portfolio Insurance Strategies Using Stochastic Dominance Criteria, Journal of Banking & Finance, Vol. 33, No. 2, 2009.
Anwar, Agus Parhan Saepul & Jasuni, Ana Yuliana & Juniarso, Andy, Single index model analysis for optimum portfolio in pharmaceutical companies registered in Indonesia Stock Exchange, Jurnal Rekomen (Riset Ekonomi Manajemen), Vol. 4, No. 2, 2021.
Chitnis, Asmita, Performance Evaluation of Two Optimal Portfolios by Sharpe’s Ratio, Global Journal of Finance and Management, Volume. 2, Number.1, 2010.
Huu Do, Binh, Relative performance of dynamic portfolio insurance strategies: Australian evidence, Accounting & Finance, Vol. 42, No. 3, 2002.
Jiang, Caiyu & Wang, Jianhua, A Portfolio Model with Risk Control Policy Based on Deep Reinforcement Learning, Mathematics, Vol.11, No.19, 2023.
Ludwig, Jeffrey, Unfairly Defiled: A Long Term Perspective On Portfolio Insurance As A Strategy For Limiting Portfolio Losses, Journal of Investment and Management, Vol. 10, No. 2, 2021.
Mackenzie, Donald, The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics, Economy and society, 2004.
Mahmud, Imroz, Optimal Portfolio Construction using Sharpe’s Single-Index Model: Evidence from Chittagong Stock Exchange, International Journal of Commerce and Finance, vol. 6, no.1, 2020.
Mahmud, Imroz, Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange, JEMA: Jurnal Ilmiah Bidang Akuntansi dan Manajemen, vol. 16, no.1, 2019.
Mwanga, Gasper Godson, Hedging of Financial Derivatives and Portfolio Insurance, African Institute for Mathematical Sciences, South Africa, 2005.
Oudat, M., H. Hasan, & A. Alsmadi, Macroeconomic variables and portfolio investment in Bahrain using an ARDL bound testing approach, Accounting, vol.6, no.4, 2020.
Pain, Darren & Rand, Jonathan, Recent Developments in Portfolio Insurance, Recent Developments in Portfolio Insurance, 2008.
Setyantho, Kaolina Savitri & Wibowo, Sasmito Hadi, Comparison of Optimal Portfolio Performance Between Single Index Models and Markowitz Models (Case Study of Daily Return Implementation of OJK Rules Regarding Investments of State Values for Non-Bank Financial Institutions 2016-2017), Business and Entrepreneurial Review, Vol.19, No.1, 2019.
Zhang, Zi’ang, Study of Portfolio Performance Under Certain Restraint Comparison: Markowitz Model and Single Index Model on S&P 500, In: 2022 7th International Conference on Social Sciences and Economic Development (ICSSED 2022), Advances in Economics, Business and Management Research, volume 652, 2022.