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Best portfolio insurance for long-term investment strategies in realistic conditions
16 references·2 citing·38 second hop
Best portfolio insurance for long-term investment strategies in realistic conditions (2013)Best portfolio insurance for long-term in…Merton, Robert C. (2010)Merton, Robert C.The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Preference Parameters and Beh…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)Intertemporal Asset Pricing w…Replicating Options with Positions in Stock and Cash (1981)Replicating Options with Posi…Optimal Portfolio Insurance (1981)Optimal Portfolio InsuranceMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)Nonconcave Optimal Investment…Dynamic preferences for popular investment strategies in pension funds (2014)Dynamic preferences for popul…Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Risk as feelings. (2001)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Analysis of Economic Time-Series-Part I: Prices (1953)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1997Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study2,399 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2010Merton, Robert C.812 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1982Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation353 cited
  • 1981Replicating Options with Positions in Stock and Cash

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188 cited
  • 1981Optimal Portfolio Insurance186 cited
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    • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited
    • 2014Dynamic preferences for popular investment strategies in pension funds23 cited