A comparative study of portfolio insurance.
From MaRDI portal
Publication:1605420
DOI10.1016/S0165-1889(01)00043-4zbMath1131.91328OpenAlexW3122929545MaRDI QIDQ1605420
Publication date: 15 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00043-4
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (12)
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Portfolio selection with consumption ratcheting ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? ⋮ On the optimal design of insurance contracts with guarantees ⋮ Risk management with expected shortfall ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Scenario optimization asset and liability modelling for individual investors ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING
Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Theory of constant proportion portfolio insurance
- Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- An Intertemporal General Equilibrium Model of Asset Prices
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Recursive Competitive Equilibrium: The Case of Homogeneous Households
- Asset Prices in an Exchange Economy
- The Consumption-Based Capital Asset Pricing Model
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- On Existence of Weakly Maximal Programmes in a Multi-Sector Economy
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