Effectiveness of CPPI strategies under discrete-time trading
From MaRDI portal
Publication:2271619
DOI10.1016/j.jedc.2008.04.013zbMath1170.91369OpenAlexW3123957197MaRDI QIDQ2271619
Sven Balder, Antje Mahayni, Michael Brandl
Publication date: 7 August 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2008.04.013
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
Portfolio insurance: gap risk under conditional multiples ⋮ PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ Constant proportion portfolio insurance under a regime switching exponential Lévy process ⋮ PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products ⋮ On the optimal design of insurance contracts with guarantees ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ Model-free CPPI ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Dynamic hybrid products with guarantees -- an optimal portfolio framework ⋮ Model for dynamic multiple of CPPI strategy
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Optimal portfolio management with American capital guarantee
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Theory of constant proportion portfolio insurance
- Volatility misspecification, option pricing and superreplication via coupling
- Optimal portfolio policies with borrowing and shortsale constraints
- Efficient hedging: cost versus shortfall risk
- A comparative study of portfolio insurance.
- Quantile hedging
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- On dynamic measure of risk
- Coherent Measures of Risk
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Robustness of the Black and Scholes Formula
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Uncertain volatility and the risk-free synthesis of derivatives
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Optimal investment with minimum performance constraints
This page was built for publication: Effectiveness of CPPI strategies under discrete-time trading