Stochastic dominance of portfolio insurance strategies OBPI versus CPPI

DOI10.1007/S10479-009-0549-9MaRDI QIDQ635972zbMATHOpenAlexFDO

Authors R. Zagst, Julia Kraus

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 dominanceportfolio insuranceCPPIOBPIrisk-averse investorvolatility spread

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cites work

• Entscheidungsregeln bei Risiko: multivariate stochastische Dominanz
• Generalized convex inequalities
• Stochastic calculus for finance. II: Continuous-time models.
• The pricing of options and corporate liabilities
• Theory of constant proportion portfolio insurance

Cited in

(15)

• Portfolio optimization with wealth-dependent risk constraints
• Portfolio insurance strategies for a target annuitization fund
• On the optimal design of insurance contracts with guarantees
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• HARA utility maximization in a Markov-switching bond-stock market
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• Optimal HARA investments with terminal VaR constraints
• CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• scientific article; zbMATH DE number 5059331 (Why is no real title available?)
• Dynamic preferences for popular investment strategies in pension funds
• Best portfolio insurance for long-term investment strategies in realistic conditions
• Asset dependency structures and portfolio insurance strategies
• Portfolio insurance: gap risk under conditional multiples
• Option implied ambiguity and its information content: evidence from the subprime crisis

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