Growth optimal portfolio insurance in continuous and discrete time

DOI10.1007/978-3-642-29210-1_27zbMATH Open1306.91133OpenAlexW188943604MaRDI QIDQ5176293FDOQ5176293

Authors: Sergey Sosnovskiy 

Publication date: 3 March 2015

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29210-1_27

Recommendations

• Best portfolio insurance for long-term investment strategies in realistic conditions
• Portfolio insurance: gap risk under conditional multiples
• Theory of constant proportion portfolio insurance
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• scientific article; zbMATH DE number 5059331

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal Dynamic Trading Strategies with Risk Limits
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
• Growth Optimal Portfolio Insurance in Continuous and Discrete Time

Cited In (2)

• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Growth Optimal Portfolio Insurance in Continuous and Discrete Time

This page was built for publication: Growth optimal portfolio insurance in continuous and discrete time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5176293)