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A comparative study of portfolio insurance
16 references·15 citing·38 second hop
A comparative study of portfolio insurance (2002)A comparative study of portfolio insuranceIMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)IMPLEMENTING ARROW-DEBREU EQU…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Equilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Risk-Taking, Global Diversification, and Growth (1992)Risk-Taking, Global Diversifi…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies (1988)An Analysis of the Implicatio…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…The Economics of Information and Uncertainty (1982)The Economics of Information …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An aggregation theorem for securities markets (1974)An aggregation theorem for se…Estimating portfolio risk for tail risk protection strategies (2020)Estimating portfolio risk for…Portfolio selection with consumption ratcheting (2018)Portfolio selection with cons…Risk management with weighted VaR (2017)Risk management with weighted…Performance evaluation of optimized portfolio insurance strategies (2014)Performance evaluation of opt…Dynamic preferences for popular investment strategies in pension funds (2014)Dynamic preferences for popul…A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)A dynamic autoregressive expe…Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? (2012)Pension fund taxation and ris…Financial planning and risk-return profiles (2012)Financial planning and risk-r…Dynamic allocation decisions in the presence of funding ratio constraints (2012)Dynamic allocation decisions …On the optimal design of insurance contracts with guarantees (2010)On the optimal design of insu…Effectiveness of CPPI strategies under discrete-time trading (2008)Effectiveness of CPPI strateg…The optimal asset allocation of the main types of pension funds: a unified framework (2007)The optimal asset allocation …Scenario optimization asset and liability modelling for individual investors (2006)Scenario optimization asset a…On the Feasibility of Risk Based Regulation (2003)On the Feasibility of Risk Ba…Relative performance of dynamic portfolio insurance strategies: Australian evidence (2002)Relative performance of dynam…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)The equity premium: A puzzle (1985)Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)What is the Intrinsic Value of the Dow? 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this work references cited by second hop

References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1982The Economics of Information and Uncertainty861 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 1992Risk-Taking, Global Diversification, and Growth527 cited
  • 1974An aggregation theorem for securities markets484 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2005IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES351 cited
  • 1988An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

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332 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • Cited by

    • 2008Effectiveness of CPPI strategies under discrete-time trading66 cited
    • 2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
    • 2002Relative performance of dynamic portfolio insurance strategies: Australian evidence44 cited
    • 2014Performance evaluation of optimized portfolio insurance strategies40 cited
    • 2018Portfolio selection with consumption ratcheting38 cited
    • 2017Risk management with weighted VaR34 cited
    • 2006Scenario optimization asset and liability modelling for individual investors33 cited
    • 2012Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?31 cited
    • 2010On the optimal design of insurance contracts with guarantees31 cited
    • 2003On the Feasibility of Risk Based Regulation27 cited
    • 2020Estimating portfolio risk for tail risk protection strategies26 cited
    • 2014Dynamic preferences for popular investment strategies in pension funds23 cited
    • 2012Dynamic allocation decisions in the presence of funding ratio constraints21 cited
    • 2007The optimal asset allocation of the main types of pension funds: a unified framework18 cited
    • 2012Financial planning and risk-return profiles15 cited