SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Portfolio insurance : a guide to dynamic hedging
0 references·16 citing·39 second hop
Portfolio insurance : a guide to dynamic hedging (1988)Portfolio insurance : a guide to dynamic …Omega Performance Measure and Portfolio Insurance (2018)Omega Performance Measure and…Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…Risk management with weighted VaR (2017)Risk management with weighted…Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method (2016)Portfolio Insurance: The Extr…PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2015)PORTFOLIO OPTIMIZATION AND ST…Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs (2014)Premiums, discounts and feedb…Performance evaluation of optimized portfolio insurance strategies (2014)Performance evaluation of opt…Portfolio insurance: Gap risk under conditional multiples (2013)Portfolio insurance: Gap risk…Income drawdown option with minimum guarantee (2013)Income drawdown option with m…Best portfolio insurance for long-term investment strategies in realistic conditions (2013)Best portfolio insurance for …INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA (2011)INITIAL INVESTMENT CHOICE AND…HOW GOOD ARE PORTFOLIO INSURANCE STRATEGIES? (2010)HOW GOOD ARE PORTFOLIO INSURA…The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis (2009)The effectiveness of the VaR-…Effectiveness of CPPI strategies under discrete-time trading (2008)Effectiveness of CPPI strateg…Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria (2007)Performance Evaluation of Por…A comparative study of portfolio insurance (2002)A comparative study of portfo…The Pricing of Options and Corporate Liabilities (1973)Modern Portfolio Theory and Investment Analysis. (1982)Conditional Skewness in Asset Pricing Tests (2000)The Value of Stop Loss Strategies (2008)Does the Stock Market Overreact? (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis (2014)Do investors feedback trade in the Bitcoin—and why? (2021)Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda (2024)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Coherent Measures of Risk (1999)Point Processes and Queues (1981)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Variable annuities and the option to seek risk: Why should you diversify? (2012)Estimating portfolio risk for tail risk protection strategies (2020)PORTFOLIO SELECTION* (1952)Optimization of conditional value-at-risk (2000)Continuous-Time Finance. (1991)Derivatives in Financial Markets with Stochastic Volatility (2000)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Robust investment–reinsurance optimization with multiscale stochastic volatility (2015)Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (2018)Optimal portfolio under fractional stochastic environment (2018)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Relative performance of dynamic portfolio insurance strategies: Australian evidence (2002)Risk premia in general equilibrium (2011)Continuous Martingales and Brownian Motion (1999)A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Optimal life-cycle consumption and investment decisions under age-dependent risk preferences (2020)Option pricing when underlying stock returns are discontinuous (1976)Advances in prospect theory: Cumulative representation of uncertainty (1992)The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors (2020)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 2015PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS84 cited
  • 2002A comparative study of portfolio insurance72 cited
  • 2018Omega Performance Measure and Portfolio Insurance67 cited
  • 2008Effectiveness of CPPI strategies under discrete-time trading66 cited
  • 2016Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method47 cited
  • 2014Performance evaluation of optimized portfolio insurance strategies40 cited
  • 2014Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs37 cited
  • 2007Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria35 cited
  • 2013Portfolio insurance: Gap risk under conditional multiples34 cited
  • 2017Risk management with weighted VaR34 cited
  • 2009The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis33 cited
  • 2013Income drawdown option with minimum guarantee30 cited
  • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
  • 2013Best portfolio insurance for long-term investment strategies in realistic conditions28 cited

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

2011
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
20 cited
  • 2010HOW GOOD ARE PORTFOLIO INSURANCE STRATEGIES?19 cited