Stochastic dominance of portfolio insurance strategies OBPI versus CPPI

DOI10.1007/S10479-009-0549-9zbMATH Open1219.91134OpenAlexW101239933MaRDI QIDQ635972FDOQ635972

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

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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)

Cites Work

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

Cited In (14)

• MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Option implied ambiguity and its information content: evidence from the subprime crisis
• HARA utility maximization in a Markov-switching bond–stock market
• CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
• Portfolio insurance: gap risk under conditional multiples
• Dynamic preferences for popular investment strategies in pension funds
• PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND
• Best portfolio insurance for long-term investment strategies in realistic conditions
• Optimal HARA investments with terminal VaR constraints
• On the optimal design of insurance contracts with guarantees
• Title not available (Why is that?)
• Portfolio optimization with wealth-dependent risk constraints

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