Portfolio insurance: gap risk under conditional multiples
From MaRDI portal
Publication:299885
DOI10.1016/j.ejor.2013.11.027zbMath1338.91124OpenAlexW2064747011MaRDI QIDQ299885
F. Blanchet-Sadri, M. Dambrine
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.11.027
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (6)
Dynamic portfolio insurance strategies: risk management under Johnson distributions ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Robustness of stable volatility strategies ⋮ A multiple stochastic goal programming approach for the agent portfolio selection problem ⋮ Risk management of time varying floors for dynamic portfolio insurance ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio rebalancing model using multiple criteria
- Continuous time mean variance asset allocation: a time-consistent strategy
- 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
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Theory of constant proportion portfolio insurance
- ARCH models and financial applications
- Quantile hedging
- Effectiveness of CPPI strategies under discrete-time trading
- ARCH models as diffusion approximations
- Coherent Measures of Risk
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Portfolio Optimization and Performance Analysis
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Measures, Integrals and Martingales
This page was built for publication: Portfolio insurance: gap risk under conditional multiples
