A new choice of dynamic asset management: the variable proportion portfolio insurance
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DOI: 10.1080/00036840600949280
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Cited by:
- Diana Barro & Elio Canestrelli, 2014.
"Downside risk in multiperiod tracking error models,"
Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
- Diana Barro & Elio Canestrelli, 2012. "Downside risk in multiperiod tracking error models," Working Papers 2012_17, Department of Economics, University of Venice "Ca' Foscari".
- Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
- Daniele Mancinelli & Immacolata Oliva, 2023. "Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies," Risks, MDPI, vol. 11(6), pages 1-14, June.
- Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
- Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
- Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
- Ben Ameur, H. & Prigent, J.L., 2014.
"Portfolio insurance: Gap risk under conditional multiples,"
European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
- Jean-Luc Prigent & H. Ben Ameur & J.L. Prigent, 2014. "Portfolio insurance: Gap risk under conditional multiples," Post-Print hal-03679707, HAL.
- Huai-I. Lee & Hsinan Hsu & Len-Kuo Hu & Ching-Chung Lin, 2011. "Portfolio insurance with ratcheted floor as a long-term asset management strategy: implications of loss aversion," Applied Economics Letters, Taylor & Francis Journals, vol. 18(15), pages 1449-1454.
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