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Relative performance of dynamic portfolio insurance strategies: Australian evidence
3 references·1 citing·17 second hop
Relative performance of dynamic portfolio insurance strategies: Australian evidence (2002)Relative performance of dynamic portfolio…Theory of rational option pricing (2005)Theory of rational option pri…A comparative study of portfolio insurance (2002)A comparative study of portfo…A General Equilibrium Model of Portfolio Insurance (1995)A General Equilibrium Model o…The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis (2009)The effectiveness of the VaR-…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options and Corporate Liabilities (1973)Stock returns and volatility in emerging financial markets (1997)A Universal Performance Measure (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal Portfolio Choice Under Loss Aversion (2000)Risk Management with Benchmarking (2006)The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion (2007)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Effectiveness of CPPI strategies under discrete-time trading (2008)A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)Performance evaluation of optimized portfolio insurance strategies (2014)
this work references cited by second hop

References

  • 2005Theory of rational option pricing7,161 cited
  • 1995A General Equilibrium Model of Portfolio Insurance170 cited
  • 2002A comparative study of portfolio insurance72 cited

Cited by

  • 2009The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis33 cited

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