Dynamic portfolio insurance strategies: risk management under Johnson distributions (Q1615814): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2290907113 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Portfolio insurance: gap risk under conditional multiples / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Theory of constant proportion portfolio insurance / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Quantile hedging / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A dynamic autoregressive expectile for time-invariant portfolio protection strategies / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Johnson System: Selection and Parameter Estimation / rank | |||
Normal rank | |||
Latest revision as of 04:46, 17 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio insurance strategies: risk management under Johnson distributions |
scientific article |
Statements
Dynamic portfolio insurance strategies: risk management under Johnson distributions (English)
0 references
31 October 2018
0 references
portfolio insurance
0 references
CPPI
0 references
hedge funds
0 references
Johnson distribution
0 references
gap risk
0 references
VaR
0 references
CVaR
0 references
