Risk management of time varying floors for dynamic portfolio insurance

DOI10.1016/J.EJOR.2018.01.041zbMATH Open1431.91352OpenAlexW2791107832MaRDI QIDQ1744530FDOQ1744530

Xianqiang Yang

Publication date: 23 April 2018

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.01.041

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zbMATH Keywords

portfolio insuranceCPPImarginratchettime varying floor

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Mathematical methods for financial markets.
• Portfolio Optimization and Performance Analysis
• Theory of constant proportion portfolio insurance
• Portfolio insurance: gap risk under conditional multiples
• Optimal investment strategies in the presence of a minimum guarantee.
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Cited In (2)

• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion

Uses Software

• CAViaR

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