Dynamic portfolio insurance strategies: risk management under Johnson distributions (Q1615814): Difference between revisions
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| Property / cites work: Portfolio insurance: gap risk under conditional multiples / rank | |||
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| Property / cites work: Theory of constant proportion portfolio insurance / rank | |||
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| Property / cites work: Quantile hedging / 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: The Johnson System: Selection and Parameter Estimation / rank | |||
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Latest revision as of 03:46, 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)
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31 October 2018
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portfolio insurance
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CPPI
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hedge funds
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Johnson distribution
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gap risk
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VaR
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CVaR
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