SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic dominance of portfolio insurance strategies
10 references·6 citing·39 second hop
Stochastic dominance of portfolio insurance strategies (2009)Stochastic dominance of portfolio insuran…Journal of Economic Dynamics and Control (2013)Journal of Economic Dynamics …Portfolio Insurance Strategies: OBPI versus CPPI (2005)Portfolio Insurance Strategie…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Portfolio Insurance Strategies: OBPI versus CPPI (2002)Portfolio Insurance Strategie…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Entscheidungsregeln bei Risiko Multivariate stochastische Dominanz (1982)Entscheidungsregeln bei Risik…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Option implied ambiguity and its information content: Evidence from the subprime crisis (2015)Option implied ambiguity and …Performance evaluation of optimized portfolio insurance strategies (2014)Performance evaluation of opt…Dynamic preferences for popular investment strategies in pension funds (2014)Dynamic preferences for popul…A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)A dynamic autoregressive expe…Best portfolio insurance for long-term investment strategies in realistic conditions (2013)Best portfolio insurance for …Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the op…The Pricing of Options on Assets with Stochastic Volatilities (1987)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Effectiveness of CPPI strategies under discrete-time trading (2008)Omega Performance Measure and Portfolio Insurance (2018)Enhancing portfolio management using artificial intelligence: literature review (2024)Coherent Measures of Risk (1999)A Jump-Diffusion Model for Option Pricing (2002)CAViaR (2004)Estimating portfolio risk for tail risk protection strategies (2020)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Flow Systems. (1987)Continuous-Time Finance. (1991)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Equilibrium Analysis of Portfolio Insurance (1996)Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Stochastic Network Programming for Financial Planning Problems (1992)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)Investment instruments with volatility target mechanism (2013)Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method (2016)Business Cycles, Financial Crises, and Stock Volatility (1989)Handbook of computational economics (1998)Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle (2002)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 2013Journal of Economic Dynamics and Control864 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2002Portfolio Insurance Strategies: OBPI versus CPPI69 cited
  • 2005Portfolio Insurance Strategies: OBPI versus CPPI63 cited
  • 1982Entscheidungsregeln bei Risiko Multivariate stochastische Dominanz30 cited

Cited by

  • 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
  • 2014Performance evaluation of optimized portfolio insurance strategies40 cited
  • 2015Option implied ambiguity and its information content: Evidence from the subprime crisis35 cited
  • 2013Best portfolio insurance for long-term investment strategies in realistic conditions28 cited
  • 2014Dynamic preferences for popular investment strategies in pension funds23 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited