DANIELE MANCINELLI

PhD Graduate

PhD program:: XXXVI


supervisor: Immacolata Oliva

Thesis title: New Insights on Portfolio Insurance Strategies for Financial and Longevity Risk Management

Portfolio insurance strategies, designed to safeguard a minimum level of wealth while participating in market gains, have become a linchpin of the asset management industry. The present research work focuses on various portfolio insurance strategies, such as constant proportion portfolio insurance (CPPI) strategy, time–invariant portfolio protection (TIPP) strategy, and proportional portfolio insurance (PPI) strategy, offering insights into their advantages and addressing their critical issues, including cash–locked positions and gap risk. In particular, the study explores modifications to the latter baseline strategies, focusing on improving market participation and capital protection, in a wide range of applications spanning from structured investment products with capital protection to pension funds. Notably, a new variant of the TIPP strategy, the TIPP with guaranteed minimum equity exposure (G–TIPP), is introduced, demonstrating its effectiveness in structured investment products with capital protection. The thesis also addresses the shortcomings of existing PI strategies in managing the accumulation phase of defined contribution (DC) pension funds, proposing an innovative approach that simultaneously protects the fund’s members against market and longevity risks. Finally, the study investigates the determination of optimal exogenous parameters of a modified version of the PPI strategy in markets with frictions, such as jumps in risky asset dynamics. This new PPI strategy is able to immunize the investor from gap risk P–a.s. over the entire investment horizon. The present dissertation comprises five chapters, each contributing to the understanding and advancements of PI strategies, offering valuable insights for academics and practitioners.

Research products

11573/1727635 - 2024 - Pension funds with longevity risk: an optimal portfolio insurance approach
Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; Oliva, Immacolata - 01a Articolo in rivista
paper: INSURANCE MATHEMATICS & ECONOMICS (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 268-297 - issn: 0167-6687 - wos: (0) - scopus: (0)

11573/1685769 - 2023 - Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure
Di Persio, Luca; Mancinelli, D.; Oliva, Immacolata; Wallbaum, K. - 01a Articolo in rivista
paper: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY (Chichester: John Wiley & Sons, ©1999-) pp. - - issn: 1524-1904 - wos: WOS:001039096200001 (0) - scopus: 2-s2.0-85166404754 (0)

11573/1681927 - 2023 - Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies
Mancinelli, Daniele; Oliva, Immacolata - 01a Articolo in rivista
paper: RISKS (Basel : MDPI) pp. - - issn: 2227-9091 - wos: WOS:001015560700001 (0) - scopus: 2-s2.0-85163755662 (0)

11573/1645856 - 2022 - Managing cash-in risk embedded in Portfolio Insurance strategies: a review
Mancinelli, Daniele - 01a Articolo in rivista
paper: ANNALI DEL DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA ... (Roma: Sapienza Università editrice, 2017- Bologna: Patron, 2012-2014) pp. - - issn: 2611-6634 - wos: (0) - scopus: (0)

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