Portfolio insurance: gap risk under conditional multiples

DOI10.1016/J.EJOR.2013.11.027MaRDI QIDQ299885zbMATH OpenOpenAlexFDO

Authors H. Ben Ameur, J. L. Prigent

Publication date 23 June 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2013.11.027

zbMATH Keywords

financeinvestment analysisrisk managementCPPI with conditional multiplesportfolio insurance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Theory of constant proportion portfolio insurance
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• Dynamic portfolio insurance strategies: risk management under Johnson distributions
• Best portfolio insurance for long-term investment strategies in realistic conditions
• Risk management of time varying floors for dynamic portfolio insurance

Cites work

• ARCH models and financial applications
• ARCH models as diffusion approximations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Coherent measures of risk
• Continuous time mean variance asset allocation: a time-consistent strategy
• Effectiveness of CPPI strategies under discrete-time trading
• Measures, Integrals and Martingales
• Objective comparisons of the optimal portfolios corresponding to different utility functions
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Optimization and Performance Analysis
• Portfolio rebalancing model using multiple criteria
• Quantile hedging
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Theory of constant proportion portfolio insurance

Cited in

(19)

• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Model for dynamic multiple of CPPI strategy
• On the economic risk capital of portfolio insurance
• Portfolio insurance under rough volatility and Volterra processes
• Growth optimal portfolio insurance in continuous and discrete time
• Dynamic portfolio insurance strategies: risk management under Johnson distributions
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Risk management of time varying floors for dynamic portfolio insurance
• Robustness of stable volatility strategies
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• Best portfolio insurance for long-term investment strategies in realistic conditions
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• Optimal portfolio management with American capital guarantee
• Shortfall minimizing portfolios
• A multiple stochastic goal programming approach for the agent portfolio selection problem
• Portfolio insurance under a risk-measure constraint
• Asset dependency structures and portfolio insurance strategies
• Portfolio insurance: A simulation under different market conditions

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