Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
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Publication:635972
DOI10.1007/S10479-009-0549-9zbMATH Open1219.91134OpenAlexW101239933MaRDI QIDQ635972FDOQ635972
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
Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Cites Work
Cited In (13)
- 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
- 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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