Best portfolio insurance for long-term investment strategies in realistic conditions
DOI10.1016/J.INSMATHECO.2013.01.001zbMATH Open1284.91262OpenAlexW2009501580MaRDI QIDQ2442525FDOQ2442525
Authors: Jacques Pézier, Johanna Scheller 
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.001
Recommendations
- scientific article; zbMATH DE number 5059331
- Theory of constant proportion portfolio insurance
- Portfolio insurance: gap risk under conditional multiples
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Growth optimal portfolio insurance in continuous and discrete time
utility theoryjump processespension fundstime-changed Brownian motioncapital guarantee productscertainty equivalent returnconstant proportion portfolio insurancedynamic replication in discrete timeoption based portfolio insurance
Cites Work
- The pricing of options and corporate liabilities
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Optimum consumption and portfolio rules in a continuous-time model
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Martingales and stochastic integrals in the theory of continuous trading
- Theory of constant proportion portfolio insurance
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Optimal portfolio management with American capital guarantee
- Portfolio insurance under a risk-measure constraint
- Portfolio insurance: A simulation under different market conditions
Cited In (12)
- MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- Growth optimal portfolio insurance in continuous and discrete time
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Portfolio insurance: gap risk under conditional multiples
- Constant proportion portfolio insurance strategies in contagious markets
- Dynamic preferences for popular investment strategies in pension funds
- PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES
- Effectiveness of CPPI strategies under discrete-time trading
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
This page was built for publication: Best portfolio insurance for long-term investment strategies in realistic conditions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2442525)
