MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY (Q5114681): Difference between revisions
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| Property / cites work: Effectiveness of CPPI strategies under discrete-time trading / rank | |||
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| Property / cites work: Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation / rank | |||
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| Property / cites work: A dynamic autoregressive expectile for time-invariant portfolio protection strategies / rank | |||
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| Property / cites work: Best portfolio insurance for long-term investment strategies in realistic conditions / rank | |||
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| Property / cites work: Stochastic dominance of portfolio insurance strategies OBPI versus CPPI / rank | |||
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Latest revision as of 23:23, 22 July 2024
scientific article; zbMATH DE number 7214798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY |
scientific article; zbMATH DE number 7214798 |
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MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY (English)
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25 June 2020
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CPPI strategy
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multiplier
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constrained optimization
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gap risk
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bootstrap simulations
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