OBPI-based investment portfolio insurance strategies in the digital environment
A comparative analytical study of the Dubai Financial Market and a number of cryptocurrencies
DOI:
https://doi.org/10.21928/juhd.v12n2y2026.pp26-35Keywords:
Optimal investment portfolio, Investment portfolio insurance strategies, OBPI strategy, Cryptocurrency market, Dubai Financial Market, Black and Scholes modelAbstract
The study aims to test the Option-Based Portfolio Insurance (OBPI) strategy to solve the main problem of knowing the effectiveness of the strategy in different markets, in the digital environment, and over a different period of time. The study community was represented in two fields: the first included companies listed on the Dubai Financial Market, numbering (65) companies from (9) sectors, and the second represented cryptocurrencies listed on the (coingecko) platform. The study sample included (8) companies listed on the Dubai Financial Market that had been listed in an optimal investment portfolio built according to the simple gradual method within the framework of the doctoral thesis from which this study was derived. As for cryptocurrencies, the sample included (4) cryptocurrencies that were selected according to the market value criterion and the state of continuity of trading during the study period, which covered the time period extending during the year 2024, from 1-1-2024 to 31-12-2024. To test the study's objectives, the Black and Scholes model was used to price covered put options, which have been adopted as a tool for insuring investment portfolios. The study reached several conclusions, including that the options-based portfolio insurance strategy is effective in reducing losses and achieving its objectives in highly volatile cryptocurrency markets, while the results showed the opposite when applied to the more stable stock market. In light of the study's results, several recommendations were put forward, most notably the need for investors and investment fund managers to exercise caution when adopting covered put options contracts to insure equity investment portfolios. The study also recommends adopting the OBPI strategy in the cryptocurrency market.
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