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ArticleStochastic dominance of portfolio insurance strategies

Rudi Zagst2009

Article2009

Stochastic dominance of portfolio insurance strategies

Rudi Zagst · Julia Kraus

60 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1982Modern Portfolio Theory and Investment Analysis.1966Aspects of the Theory of Risk-Bearing.2004Stochastic Calculus for Finance II: Continuous-Time Models 2013Journal of Economic Dynamics and Control 1988Dynamic Strategies for Asset Allocation 1992Theory of constant proportion portfolio insurance 2002Portfolio Insurance Strategies: OBPI versus CPPI

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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies 2014Performance evaluation of optimized portfolio insurance strategies 2015Option implied ambiguity and its information content: Evidence from the subprime crisis 2013Best portfolio insurance for long-term investment strategies in realistic conditions 2012Variable annuities and the option to seek risk: Why should you diversify?

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Year2009

Typearticle

Published2009-05-19

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-009-0549-9

openalex_workW101239933

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