ETD

• back-testing
• capital guarantee
• CPPI
• diversification
• dynamic hybrid allocation
• ECB deposit facility rate
• mean-variance optimization
• Monte Carlo simulation
• portfolio insurance
• retail investing
• risk management
• rolling window optimization
• sensitivity analysis
• transaction costs

This thesis examines whether capital‐guarantee investment strategies can be realistically replicated by retail investors using low-cost exchange-traded funds and disciplined implementation. Constant Proportion Portfolio Insurance (CPPI) and a Dynamic Hybrid allocation are adapted to a retail setting with fixed monthly contributions (€500), monthly rebalancing, and explicit transaction costs. Risk-free exposure is proxied by cash remunerated at European Central Bank deposit facility rates, while the risky component is a diversified ETF portfolio (SPY, gold, bitcoin, real estate, renewable energy) with weights optimized monthly via a 500-day rolling mean-variance procedure. Historical back-testing (2000–2025) evaluates capital preservation, risk-adjusted performance, diversification benefits, parameter sensitivity, and cost impacts. Complementary 10-year Monte Carlo simulations test robustness under alternative risk appetites, contribution levels, and interest-rate scenarios. In both the historical and simulated analyses, extensive sensitivity tests examine how the strategies respond to key parameter variations, including risk-appetite settings, contribution size, and risk-free rate. Results show that both strategies reliably preserve capital, with CPPI offering tighter downside control and Dynamic Hybrid achieving higher terminal wealth. The study concludes that, under realistic market and cost constraints, disciplined self-management can approximate the protective and accumulative functions of institutional capital-guarantee products.