FINANCE {tsapp}

Portfolio-Insurance-Strategies

Description

Portfolio-Insurance-Strategies

Usage

FINANCE

Format

FINANCE is a multivariate time series of length 7529:

CPPI

first Portfolio-Insurance-Strategy

TIPP

second Portfolio-Insurance-Strategy

StopLoss

third Portfolio-Insurance-Strategy

SyntheticPut

fourth Portfolio-Insurance-Strategy

CASH

money market investment

Source

Dichtl, H. and Drobetz, W. (2011) <doi:10.1016/j.jbankfin.2010.11.012>

Examples

data(FINANCE)
## maybe  tsp(FINANCE) ; plot(FINANCE)