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ArticlePerformance evaluation of optimized portfolio insurance strategies

Daniel Zieling2014

Article2014

Performance evaluation of optimized portfolio insurance strategies

Daniel Zieling · Antje Mahayni · Sven Balder

40 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1973An Intertemporal Capital Asset Pricing Model 1971Optimum consumption and portfolio rules in a continuous-time model 1966Mutual Fund Performance 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1998Methods of Mathematical Finance 1996Modeling the conditional distribution of interest rates as a regime-switching process 2000Investing for the Long Run when Returns Are Predictable

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Year2014

Typearticle

Published2014-03-27

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations40

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2014.03.027

openalex_workW3124014529

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