Dynamic allocation strategies for absolute and relative loss control

DOI10.3233/AF-140040zbMATH Open1396.91696OpenAlexW3121733760MaRDI QIDQ4586440FDOQ4586440

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

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zbMATH Keywords

risk managementloss aversionbenchmarksportfolio insurancehedging overlay

Mathematics Subject Classification ID

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

Cited In (4)

• Loss strategies for competing AIMD flows
• Title not available (Why is that?)
• 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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