Risk management of time varying floors for dynamic portfolio insurance

DOI10.1016/J.EJOR.2018.01.041MaRDI QIDQ1744530zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

portfolio insuranceCPPImarginratchettime varying floor

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Theory of constant proportion portfolio insurance
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• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Dynamic portfolio insurance strategies: risk management under Johnson distributions

Cites work

• scientific article; zbMATH DE number 3852087 (Why is no real title available?)
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Mathematical methods for financial markets.
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal investment strategies in the presence of a minimum guarantee.
• Portfolio Optimization and Performance Analysis
• Portfolio insurance: gap risk under conditional multiples
• Theory of constant proportion portfolio insurance

Cited in

(5)

• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
• Dynamic portfolio insurance strategies: risk management under Johnson distributions
• Long-term optimal portfolios with floor
• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
• Portfolio insurance: gap risk under conditional multiples

Describes a project that uses

Uses Software

• CAViaR

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