SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal portfolio management with American capital guarantee
14 references·16 citing·43 second hop
Optimal portfolio management with American capital guarantee (2004)Optimal portfolio management with America…On dynamic measures of risk (1999)On dynamic measures of riskOptimization of consumption with labor income (1998)Optimization of consumption w…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Martingale Methods in Financial Modelling (1998)Martingale Methods in Financi…Strategic asset allocation (1997)Strategic asset allocationMartingale Methods in Financial Modelling (1997)Martingale Methods in Financi…On Portfolio Optimization under “Drawdown” Constraints (1995)On Portfolio Optimization und…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…The numeraire portfolio (1990)The numeraire portfolioOptimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan (2019)Optimal investment with S-sha…Omega Performance Measure and Portfolio Insurance (2018)Omega Performance Measure and…Constrained non-concave utility maximization: An application to life insurance contracts with guarantees (2018)Constrained non-concave utili…Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method (2016)Portfolio Insurance: The Extr…A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)A dynamic autoregressive expe…Pension funds with a minimum guarantee: a stochastic control approach (2010)Pension funds with a minimum …Optimal Control under Stochastic Target Constraints (2010)Optimal Control under Stochas…On the optimal design of insurance contracts with guarantees (2010)On the optimal design of insu…Omega performance measure and portfolio insurance (2010)Omega performance measure and…A stochastic control problem with delay arising in a pension fund model (2010)A stochastic control problem …CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009)CONSTANT PROPORTION PORTFOLIO…Effectiveness of CPPI strategies under discrete-time trading (2008)Effectiveness of CPPI strateg…PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)PORTFOLIO MANAGEMENT WITH CON…Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices (2007)Constant Proportion Portfolio…CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE (2006)CONSTRAINED OPTIMIZATION WITH…Optimal investment problems and volatility homogenization approximations (2002)Optimal investment problems a…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)A Theory of the Term Structure of Interest Rates (1985)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An equilibrium characterization of the term structure (1977)Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets (2003)The numéraire portfolio in semimartingale financial models (2007)What Is the Expected Return on a Stock? (2019)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)Stochastic Integration and Differential Equations (1990)Theory of constant proportion portfolio insurance (1992)Large stock market price drawdowns are outliers (2001)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Stochastic Network Programming for Financial Planning Problems (1992)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1997Strategic asset allocation730 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 1990The numeraire portfolio319 cited
  • 1998Optimization of consumption with labor income185 cited
  • 1999On dynamic measures of risk184 cited
  • 1995On Portfolio Optimization under “Drawdown” Constraints159 cited
  • 1998Martingale Methods in Financial Modelling149 cited

Cited by

  • 2009CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES111 cited
  • 2010Pension funds with a minimum guarantee: a stochastic control approach

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

98 cited
  • 2010Omega performance measure and portfolio insurance91 cited
  • 2010A stochastic control problem with delay arising in a pension fund model89 cited
  • 2019Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan83 cited
  • 2010Optimal Control under Stochastic Target Constraints72 cited
  • 2018Omega Performance Measure and Portfolio Insurance67 cited
  • 2008Effectiveness of CPPI strategies under discrete-time trading66 cited
  • 2007PORTFOLIO MANAGEMENT WITH CONSTRAINTS65 cited
  • 2002Optimal investment problems and volatility homogenization approximations60 cited
  • 2007Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices49 cited
  • 2016Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method47 cited
  • 2018Constrained non-concave utility maximization: An application to life insurance contracts with guarantees46 cited
  • 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
  • 2006CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE37 cited
  • 2010On the optimal design of insurance contracts with guarantees31 cited