Dynamic allocation strategies for absolute and relative loss control

DOI10.3233/AF-140040MaRDI QIDQ4586440zbMATH OpenOpenAlexFDO

Authors Daniel Mantilla-García

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-140040

zbMATH Keywords

benchmarkshedging overlayloss aversionportfolio insurancerisk management

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Portfolio theory (91G10)

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(4)

• Loss strategies for competing AIMD flows
• On creating proportional loss-rate differentiation: predictability and performance
• Asset dependency structures and portfolio insurance strategies
• One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior

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