Constant proportion performance participation

DOI10.1080/14697688.2026.2615107MaRDI QIDQ7229241zbMATH OpenFDO

Authors R. Zagst, Gaurav Khemka

Publication date 15 April 2026

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2026.2615107

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Cites work

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• Risk management of time varying floors for dynamic portfolio insurance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Stock price distributions with stochastic volatility: an analytic approach
• Testing for stochastic dominance efficiency
• Theory of constant proportion portfolio insurance

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