Evaluation of investment portfolio insurance strategies OBPI vs. CPPI
A comparative analytical study on the Iraq Stock Exchange
A dissertation submitted to the Board of the College of Administration and Economics, University of Karbala – as a part of the requirements of obtaining the degree of Doctor of Philosophy in of Financial and Banking Sciences
Submitted by
Sheimaa Shakir Mahmood Al Mayah
supervision by
Prof. Dr.
Zainab Makee Mahmood Albanaa
Abstract
The study aims to evaluate strategies for securing the investment portfolio using strategies that are based on OBPI options and that are based on fixed ratios (CPPI). The aim of using these strategies 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 study adopts a comparison approach between the most common portfolio insurance strategies (OBPI & CPPI) in order to determine the best strategy in light of different market conditions. The study population consisted of all the companies listed in the Iraq Stock Exchange for the eight sectors, which are (banks, insurance, investment, services, industry, hotels and tourism, agriculture, communications, and financial transfer), which amounted to 133 companies, and the study sample was chosen, which consisted of 42 A company belonging to various economic sectors and listed on the Iraq Stock Exchange for a period of (85 months), i.e. the period from 3/17/2015-3/17/2022. The study used a number of financial and statistical models, the most important of which is the single indicator model in calculating the expected rates of return and risk for the portfolio, the simple gradient model for building the optimal investment portfolio, and the Black and Scholes model for pricing options using the statistical program [Microsoft Excel vs.16]. The study reached a number of results, the most important of which is the superiority of the performance of the buying option selling strategy, the compound selling option strategy, and the fixed ratios strategy on the market portfolio and the efficient uninsured portfolio. OBPI and CPPI investment portfolio in order to manage the risks they are exposed to as a result of the country’s economic, political and security conditions.
Keywords: – The optimal investment portfolio, William Sharpe’s simplistic models in light of not allowing short selling, OBPI, CPPI.
