Stochastic dominance of portfolio insurance strategies OBPI versus CPPI

DOI10.1007/s10479-009-0549-9zbMath1219.91134MaRDI QIDQ635972

Julia Kraus, Rudi Zagst

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

zbMATH Keywords

stochastic dominance; portfolio insurance; CPPI; OBPI; risk-averse investor; volatility spread

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91G10: Portfolio theory

91G99: Actuarial science and mathematical finance

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Entscheidungsregeln bei Risiko: multivariate stochastische Dominanz
• Theory of constant proportion portfolio insurance
• Stochastic calculus for finance. II: Continuous-time models.
• Generalized convex inequalities