Best portfolio insurance for long-term investment strategies in realistic conditions

DOI10.1016/j.insmatheco.2013.01.001zbMath1284.91262OpenAlexW2009501580MaRDI QIDQ2442525

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

zbMATH Keywords

jump processesutility theorypension fundstime-changed Brownian motioncapital guarantee productscertainty equivalent returnconstant proportion portfolio insurancedynamic replication in discrete timeoption based portfolio insurance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts ⋮ ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES

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