Portfolio insurance

Katia Colaneri, Federico D’Amario, Daniele Mancinelli “Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information”

Posted in: Articolo

Mag 29 2026
Abstract: We investigate optimal proportional portfolio insurance (PPI) strategies aimed at reducing exposure to carbon intensive stocks. PPI strategies enable investors to mitigate downside risk while retaining the potential for upside gains. In this paper we determine the PPI strategies to maximise the expected utility ...more »