Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation

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Related Items (17)

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Portfolio insurance: gap risk under conditional multiples ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ A provisioning problem with stochastic payments ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection ⋮ Best portfolio insurance for long-term investment strategies in realistic conditions ⋮ Optimal portfolio selection for general provisioning and terminal wealth problems ⋮ CONIC CPPIs ⋮ Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ Tracking error: a multistage portfolio model ⋮ Approximations for life annuity contracts in a stochastic financial environment

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