The estimation of the multiplier parameter of portfolio insurance strategies is crucial for its implementation because it determines the risk exposure to the performance-seeking asset (PSA) at each point in time. Studies that address the estimation of the multiplier’s upper bound have been limited to strategies that use as the safe asset a short-term bank account, in which case the co-movements of the safe and the PSA become irrelevant. However, in several relevant applications, portfolio insurance strategies use stochastic reference assets different from cash, such as the control of active-risk relative to a benchmark, or insuring a minimum level of retirement income. We find that the implications of taking into account the assets’ co-movements in the multiplier estimation can be crucial. In Monte Carlo simulations the multiplier doubles in size across scenarios, and the strategy using the proposed approach presents stochastic dominance over the strategy that ignores the asset dependency structure.

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资产依赖结构和投资组合保险策略

组合保险策略的乘数参数的估计对其实施至关重要，因为它决定了每个时间点对绩效寻求资产 (PSA) 的风险敞口。解决乘数上限估计的研究仅限于使用短期银行账户作为安全资产的策略，在这种情况下，安全和 PSA 的联动变得无关紧要。然而，在一些相关应用中，投资组合保险策略使用不同于现金的随机参考资产，例如控制相对于基准的主动风险，或确保最低水平的退休收入。我们发现，在乘数估计中考虑资产的联动可能是至关重要的。