Effectiveness of CPPI strategies under discrete-time trading

DOI10.1016/j.jedc.2008.04.013zbMath1170.91369OpenAlexW3123957197MaRDI QIDQ2271619

Sven Balder, Antje Mahayni, Michael Brandl

Publication date: 7 August 2009

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.04.013

zbMATH Keywords

portfolio insurancegap riskvolatility riskdiscrete-time tradingreturn guarantees

Mathematics Subject Classification ID

Trade models (91B60)

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