Stochastic dominance of portfolio insurance strategies OBPI versus CPPI (Q635972)

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Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
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    title
    Stochastic dominance of portfolio insurance strategies OBPI versus CPPI (English)
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    author
    Rudi Zagst
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    Julia Kraus
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    publication date
    25 August 2011
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    Mathematics Subject Classification ID
    91G10
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    91G99
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    60E15
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    91B30
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    zbMATH DE Number
    5942438
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    zbMATH Keywords
    portfolio insurance
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    CPPI
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    OBPI
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    stochastic dominance
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    volatility spread
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    risk-averse investor
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    OpenAlex ID
    W101239933
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