Asset dependency structures and portfolio insurance strategies

DOI10.1142/S0219024921500163MaRDI QIDQ5010069zbMATH OpenOpenAlexFDO

Authors Daniel Mantilla-García, Enrique ter Horst, Emilien Audeguil, German Molina

Publication date 24 August 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500163

zbMATH Keywords

copulasdependencedrawdown controlportfolio insurancerelative losses

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A copula-based model of speculative price dynamics in discrete time
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• An introduction to copulas.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Best portfolio insurance for long-term investment strategies in realistic conditions
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Dynamic allocation strategies for absolute and relative loss control
• Generalized autoregressive conditional heteroscedasticity
• Hands-on intermediate econometrics using R. Templates for extending dozens of practical examples
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1746020 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• Theory of constant proportion portfolio insurance
• Use of Ranks in One-Criterion Variance Analysis

Describes a project that uses

Uses Software

• R
• generalCorr
• dunn.test

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