PORTFOLIO INSURANCE WITH VOLATILITY CONTROL: BALANCING RISK AND RETURN - Replication Code

Description

This package contains the complete code to reproduce all numerical results in the paper. The paper compares the Volatility Target Portfolio Insurance (VTPI) strategy with the classic Option-Based Portfolio Insurance (OBPI) strategy using Monte Carlo simulation under the Heston stochastic volatility model. There are no external data. All data are simulated within the scripts.

Institutions

• College of Charleston

  South Carolina, Charleston

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