CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

DOI10.1111/J.1467-9965.2009.00377.XzbMath1168.91381OpenAlexW3123261697WikidataQ62089382 ScholiaQ62089382MaRDI QIDQ3393977

Peter Tankov, Rama Cont

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00377.x

zbMATH Keywords

expected losshedgingLévy processportfolio insurancevalue at riskCPPItime-changed Lévy modelsCPPI option

Mathematics Subject Classification ID

Related Items (18)

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Portfolio insurance: gap risk under conditional multiples ⋮ PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading ⋮ Best portfolio insurance for long-term investment strategies in realistic conditions ⋮ Constant proportion portfolio insurance under a regime switching exponential Lévy process ⋮ Portfolio insurance under a risk-measure constraint ⋮ On the optimal design of insurance contracts with guarantees ⋮ CONIC CPPIs ⋮ Model-free CPPI ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ The payoff distribution model: an application to dynamic portfolio insurance ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Model for dynamic multiple of CPPI strategy ⋮ ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES ⋮ Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis

Cites Work

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• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• An Intertemporal General Equilibrium Model of Asset Prices
• Pricing Dynamic Investment Fund Protection
• Estimation of affine asset pricing models using the empirical characteristic function

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