A comparative study of portfolio insurance.

DOI10.1016/S0165-1889(01)00043-4zbMath1131.91328OpenAlexW3122929545MaRDI QIDQ1605420

Suleyman Basak

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00043-4

zbMATH Keywords

ProductionVolatilityPortfolio insurancePure-exchangeTrend-chasing

Mathematics Subject Classification ID

Related Items (12)

Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Portfolio selection with consumption ratcheting ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? ⋮ On the optimal design of insurance contracts with guarantees ⋮ Risk management with expected shortfall ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Scenario optimization asset and liability modelling for individual investors ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
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• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
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• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
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• Recursive Competitive Equilibrium: The Case of Homogeneous Households
• Asset Prices in an Exchange Economy
• The Consumption-Based Capital Asset Pricing Model
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• On Existence of Weakly Maximal Programmes in a Multi-Sector Economy

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