Stochastic dominance of portfolio insurance strategies OBPI versus CPPI

DOI10.1007/s10479-009-0549-9zbMath1219.91134OpenAlexW101239933MaRDI QIDQ635972

Julia Kraus, Rudi Zagst

Publication date: 25 August 2011

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0549-9

zbMATH Keywords

stochastic dominanceportfolio insuranceCPPIOBPIrisk-averse investorvolatility spread

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Entscheidungsregeln bei Risiko: multivariate stochastische Dominanz
• Theory of constant proportion portfolio insurance
• Stochastic calculus for finance. II: Continuous-time models.
• Generalized convex inequalities