Dynamic portfolio insurance strategies: risk management under Johnson distributions
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DOI: 10.1007/s10479-016-2121-8
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Cited by:
- Sung Ik Kim, 2022. "ARMA–GARCH model with fractional generalized hyperbolic innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
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More about this item
Keywords
Portfolio insurance; CPPI; Hedge funds; Johnson distribution; Gap risk; VaR; CVaR;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
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