We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
A Simple Portfolio Insurance Strategy for Retirement Investing.
- Authors
Boscaljon, Brian; Sun, Licheng
- Abstract
The most common approach to individual retirement investing is based on a gradual reduction of equities as an individual approaches the retirement date. However, other equity rebalancing strategies may be more appropriate for meeting unique needs of individuals. Three common equity rebalancing strategies used by institutional investors are examined in the context of an individual investor's perspective using Monte Carlo simulations. Constant mix and constant proportion portfolio insurance (CPPI) strategies are compared to the buy-and-hold strategy for various time periods. Results indicate the CPPI strategy is most likely to achieve a minimum risk level measured by return at risk. However, this benefit is not without the sacrifice of lower Sharpe ratios. Results suggest important implications for implementing rebalancing strategies for individuals with unique goals and objectives.
- Publication
Journal of Financial Service Professionals, 2006, Vol 60, Issue 5, p60
- ISSN
1537-1816
- Publication type
Academic Journal