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Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
7 references·4 citing·38 second hop
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic (2003)Portfolio Insurance Strategies: A Compari…Portfolio Insurance Strategies: OBPI versus CPPI (2002)Portfolio Insurance Strategie…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Performance evaluation of optimized portfolio insurance strategies (2014)Performance evaluation of opt…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…On the optimal design of insurance contracts with guarantees (2010)On the optimal design of insu…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Effectiveness of CPPI strategies under discrete-time trading (2008)Stochastic dominance of portfolio insurance strategies (2009)Omega Performance Measure and Portfolio Insurance (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)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)Dynamic Nonmyopic Portfolio Behavior (1996)Investing for the Long Run when Returns Are Predictable (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
this work references cited by second hop

References

  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2002Portfolio Insurance Strategies: OBPI versus CPPI69 cited

Cited by

  • 2014Performance evaluation of optimized portfolio insurance strategies40 cited
  • 2010On the optimal design of insurance contracts with guarantees31 cited
  • 2013Best portfolio insurance for long-term investment strategies in realistic conditions28 cited
  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited

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