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ArticleA comparative study of portfolio insurance

Suleyman Basak2002

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Articlegreen2002

A comparative study of portfolio insurance

72 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1978Asset Prices in an Exchange Economy 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1990Habit Formation: A Resolution of the Equity Premium Puzzle 1985An Intertemporal General Equilibrium Model of Asset Prices 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1982The Economics of Information and Uncertainty

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2008Effectiveness of CPPI strategies under discrete-time trading 2002Relative performance of dynamic portfolio insurance strategies: Australian evidence 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies 2014Performance evaluation of optimized portfolio insurance strategies 2018Portfolio selection with consumption ratcheting 2017

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 9 shared references 1995A General Equilibrium Model of Portfolio Insurancearticle · 9 shared references 2008Natural Selection in Financial Markets: Does It Work?article · 8 shared references 1991Chapter 34 Equilibrium theory in infinite dimensional spaceschapter · 8 shared references 2007PORTFOLIO MANAGEMENT WITH CONSTRAINTSarticle · 8 shared references 2008From boom ‘til bust: How loss aversion affects asset pricesarticle · 8 shared references

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations72

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(01)00043-4

openalex_workW3122929545

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2010On the optimal design of insurance contracts with guarantees