RT Journal Article SR Electronic T1 Mind the Floor: Enhance Portfolio Insurance without Borrowing JF The Journal of Investing FD Institutional Investor Journals SP joi.2019.1.076 DO 10.3905/joi.2019.1.076 A1 Jan Annaert A1 Marc De Ceuster A1 Jürgen Vandenbroucke YR 2019 UL https://pm-research.com/content/early/2019/03/01/joi.2019.1.076.abstract AB Legal borrowing restrictions are generally claimed to limit portfolio insurance performance. This article explores two alternative rebalancing rules that aim to pick up excess return subject to a borrowing constraint. One set of rules manages a volatility target for the risky assets, and a second set of rules manages the floor. Considering real-life trading conditions, the authors’ simulation results confirm that the borrowing constraint lowers average returns. The risk-adjusted performance increases, however, so there is essentially nothing wrong with the legal prohibition to borrow. Still, managing the floor enhances risk-adjusted performance even more. Tweaking the volatility of the risky assets does not.