Risk-adjusted performance of portfolio insurance and investors’ preferences
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DOI: 10.1016/j.frl.2017.05.004
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Cited by:
- Lu, Richard & Horng, Tzyy-Leng & Horng, Min-Sun & Wang, Amy Z.-H., 2023. "A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 269-276.
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More about this item
Keywords
Option based portfolio insurance (OBPI); Constant proportion portfolio insurance (CPPI); Risk-adjusted performance; Risk preferences;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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