PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

DOI10.1111/J.1467-9965.2006.00276.XMaRDI QIDQ5488980zbMATH OpenOpenAlexFDO

Authors Joel M. Vanden

Publication date 25 September 2006

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00276.x

zbMATH Keywords

regime switchingfree-boundary problemlocal timevolatility clusteringportfolio insurancegeneralized Itô's lemma

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• A comparative study of portfolio insurance.
• On the economic risk capital of portfolio insurance
• Portfolio insurance: A simulation under different market conditions
• The regime switching portfolios
• Volatility Risk For Regime-Switching Models

Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A comparative study of portfolio insurance.
• Market volatility and feedback effects from dynamic hedging
• On Feedback Effects from Hedging Derivatives
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Prospect theory and asset prices
• The pricing of options and corporate liabilities
• Theory of constant proportion portfolio insurance
• Uniqueness for diffusions with piecewise constant coefficients

Cited in

(6)

• Portfolio management with targeted constant market volatility
• Constant proportion portfolio insurance under a regime switching exponential Lévy process
• Portfolio insurance: A simulation under different market conditions
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Volatility Risk For Regime-Switching Models
• A comparative study of portfolio insurance.

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