Portfolio Insurance Strategie


Risk & Optimization

Chapter 31 in: Investment banking, H.-J. Hockmann and F. Thiessen (editor), Schaefer Poeschel, Third edition (2012)


Capital market development in recent years has significantly impacted the risk-bearing capacity of many asset portfolios and highlighted the importance of the risk budget in the operational investment decisions of institutional investors. In the current environment, long-term payment promises must be achieved under the condition of lower interest rates and a tight risk budget that is often focused on the fiscal or financial year. With regard to consumer banking, the high need for security is reflected in the increased sales of products with a structured payment profile. For much the same reason, products have been developed under the name “Absolute Return” for both investor groups in recent years. These are aimed at limiting or even avoiding losses in addition to providing sufficient return profiles. All of these developments are driven by the desire for an asymmetric earnings profile. These should be as limited as possible in the case of losses on the capital markets and the highest possible participation should be ensured in positive development phases. These considerations form the basic framework of Portfolio Insurance Strategy.