Comparison and Evaluation of Portfolio Insurance Strategies Using Bootstrap Block Simulation (Case Study: Tehran Stock Exchange)

In this study, performance of four portfolio insurance strategies based on Stop-loss Portfolio(SL), Synthetic Put Portfolio Option(SPP), Constant Proportion Portfolio(CPPI) and Dynamic Value at Risk(D-VaR) were compared and based on the Omega performance criterion with threshold values of 1 to 4 percent and also empirical Value at Risk were evaluated. According to daily data of Tehran Stock Exchange index for 10 years, the sample includes 2467 observations from the first of April 2009 to the end of March 2019. Using the software R version 3.4.4, comparison of portfolio insurance strategies based on bootstrap block simulation were compared. The results showed that SPP and CPPI strategies with higher omega criteria had better performance than SL's strategy and also, the D-VaR strategy at level of 90% based on estimated the average and volatility from the parametric model after the Bootstrap simulation process and according to the omega performance criterion and empirical value at risk has more effective than other strategies in hedging portfolio toward the other strategies.