Theory of constant proportion portfolio insurance
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Publication:1200314
DOI10.1016/0165-1889(92)90043-EzbMath0825.90056WikidataQ127571275 ScholiaQ127571275MaRDI QIDQ1200314
Publication date: 16 January 1993
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Related Items (63)
Dynamic portfolio insurance strategies: risk management under Johnson distributions ⋮ Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Portfolio insurance: gap risk under conditional multiples ⋮ Downside risk in multiperiod tracking error models ⋮ Portfolio insurance with liquidity risk ⋮ Theoretical solution versus industry standard: Optimal leverage function for CPDOs ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Optimal HARA investments with terminal VaR constraints ⋮ Tail-risk protection trading strategies ⋮ Optimal portfolio positioning within generalized Johnson distributions ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Portfolio optimization with wealth-dependent risk constraints ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ Stochastic pension fund modelling ⋮ Return smoothing in life insurance from a client perspective ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ A portfolio choice problem under risk capacity constraint ⋮ Dynamic surplus optimization with performance- and index-linked liabilities ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Stochastic dominance of portfolio insurance strategies OBPI versus CPPI ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ Hedging global environment risks: an option based portfolio insurance ⋮ 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 ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ CONIC CPPIs ⋮ OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS ⋮ Risk management of time varying floors for dynamic portfolio insurance ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation ⋮ Dynamic asset allocation when bequests are luxury goods ⋮ Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans ⋮ Model-free CPPI ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Long-term optimal portfolios with floor ⋮ Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund ⋮ Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption ⋮ Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ The payoff distribution model: an application to dynamic portfolio insurance ⋮ Option overlay strategies ⋮ Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase ⋮ Optimal investment with minimum performance constraints ⋮ Multi-period portfolio selection with drawdown control ⋮ The design of equity-indexed annuities ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework ⋮ Optimal payoff under the generalized dual theory of choice ⋮ CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES ⋮ Asset management with endogenous withdrawals under a drawdown constraint ⋮ OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION ⋮ Pension schemes as options on pension fund assets: implications for pension fund management ⋮ PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING ⋮ Model for dynamic multiple of CPPI strategy ⋮ ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES ⋮ Optimal portfolio choice and consistent performance ⋮ A comparative study of portfolio insurance.
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