Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
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Publication:635972
DOI10.1007/s10479-009-0549-9zbMath1219.91134MaRDI QIDQ635972
Publication date: 25 August 2011
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-009-0549-9
60E15: Inequalities; stochastic orderings
91G10: Portfolio theory
91G99: Actuarial science and mathematical finance
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