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

DOI10.1016/J.INSMATHECO.2013.01.001MaRDI QIDQ2442525zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

utility theoryjump processespension 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)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal portfolio management with American capital guarantee
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing when underlying stock returns are discontinuous
• Portfolio insurance under a risk-measure constraint
• Portfolio insurance: A simulation under different market conditions
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• The Variance Gamma Process and Option Pricing
• The pricing of options and corporate liabilities
• Theory of constant proportion portfolio insurance

Cited in

(12)

• Portfolio insurance strategies for a target annuitization fund
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• Constant proportion portfolio insurance strategies in contagious markets
• Effectiveness of CPPI strategies under discrete-time trading
• Growth optimal portfolio insurance in continuous and discrete time
• Dynamic preferences for popular investment strategies in pension funds
• Asset dependency structures and portfolio insurance strategies
• Portfolio insurance: gap risk under conditional multiples

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