Portfolio insurance: gap risk under conditional multiples
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Publication:299885
DOI10.1016/J.EJOR.2013.11.027zbMATH Open1338.91124OpenAlexW2064747011MaRDI QIDQ299885FDOQ299885
Authors: H. Ben Ameur, J. L. Prigent 
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
Recommendations
- Theory of constant proportion portfolio insurance
- Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- Best portfolio insurance for long-term investment strategies in realistic conditions
- Risk management of time varying floors for dynamic portfolio insurance
Cites Work
- Coherent measures of risk
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- ARCH models and financial applications
- Optimum consumption and portfolio rules in a continuous-time model
- ARCH models as diffusion approximations
- Quantile hedging
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- Portfolio rebalancing model using multiple criteria
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- Theory of constant proportion portfolio insurance
- Effectiveness of CPPI strategies under discrete-time trading
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Measures, Integrals and Martingales
- 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
Cited In (19)
- Model for dynamic multiple of CPPI strategy
- On the economic risk capital of portfolio insurance
- Portfolio insurance under rough volatility and Volterra processes
- Growth optimal portfolio insurance in continuous and discrete time
- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Risk management of time varying floors for dynamic portfolio insurance
- Robustness of stable volatility strategies
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
- Best portfolio insurance for long-term investment strategies in realistic conditions
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Optimal portfolio management with American capital guarantee
- Shortfall minimizing portfolios
- A multiple stochastic goal programming approach for the agent portfolio selection problem
- Portfolio insurance under a risk-measure constraint
- Asset dependency structures and portfolio insurance strategies
- Portfolio insurance: A simulation under different market conditions
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
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