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Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation

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Cited by:

  1. Samuel Kyle Jones & Joe Bert Stine, 2010. "Expected utility and the non-normal returns of common portfolio rebalancing strategies," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 406-419, February.
  2. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
  3. Zhang, Tao & Zhou, Hongfeng & Li, Larry & Gu, Feng, 2015. "Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 413-422.
  4. Lan-chih Ho & John Cadle & Michael Theobald, 2022. "Portfolio Insurance Strategies," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 62, pages 1437-1465, Springer.
  5. 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.
  6. Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  7. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
  8. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
  9. Luca Di Persio & Immacolata Oliva & Kai Wallbaum, 2021. "Options on constant proportion portfolio insurance with guaranteed minimum equity exposure," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 37(1), pages 98-112, January.
  10. J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B, 2009. "Buy-and-Hold Strategies and Comonotonic Approximations," Working Papers in Economics 213, Universitat de Barcelona. Espai de Recerca en Economia.
  11. Daniele Mancinelli & Immacolata Oliva, 2023. "Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies," Risks, MDPI, vol. 11(6), pages 1-14, June.
  12. Gruszka, Jarosław & Szwabiński, Janusz, 2020. "Best portfolio management strategies for synthetic and real assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  13. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
  14. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
  15. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
  16. Ine Marquet & Wim Schoutens, 2018. "CONIC CPPIs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-20, March.
  17. Giuseppe Galloppo, 2010. "A Comparison Of Pre And Post Modern Portfolio Theory Using Resampling," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-16.
  18. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  19. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
  20. Agić-Šabeta Elma, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, vol. 7(1), pages 59-80, March.
  21. Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc, 2010. "Optimal portfolio selection for general provisioning and terminal wealth problems," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 90-97, August.
  22. Raquel M. Gaspar & Paulo M. Silva, 2023. "Investors’ perspective on portfolio insurance," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(1), pages 49-79, January.
  23. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
  24. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
  25. Shin Kimura & Tomoki Kitamura & Kunio Nakashima, 2023. "Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.
  26. 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.
  27. Sermpinis, Georgios & Hassanniakalager, Arman & Stasinakis, Charalampos & Psaradellis, Ioannis, 2021. "Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  28. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2019. "Best Portfolio Management Strategies For Synthetic and Real Assets," Papers 1904.10250, arXiv.org, revised Sep 2019.
  29. Ariful Hoque & Robin Kämmer & Frieder Meyer-Bullerdiek, 2018. "Portfolio insurance strategies in a low interest rate environment: A simulation based study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-2.
  30. 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.
  31. 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.
  32. Ardia, David & Boudt, Kris & Hartmann, Stefan & Nguyen, Giang, 2022. "Properties of the Margrabe Best-of-two strategy to tactical asset allocation," International Review of Financial Analysis, Elsevier, vol. 81(C).
  33. Pagnoncelli, Bernardo K. & Vanduffel, Steven, 2012. "A provisioning problem with stochastic payments," European Journal of Operational Research, Elsevier, vol. 221(2), pages 445-453.
  34. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
  35. Diana Barro & Elio Canestrelli, 2009. "Tracking error: a multistage portfolio model," Annals of Operations Research, Springer, vol. 165(1), pages 47-66, January.
  36. V. Ivanyuk A. & N. Abdikeyev M. & В. Иванюк А. & Н. Абдикеев М., 2018. "Управление рыночными активами в условиях кризиса // Management of Market Assets in Crisis," Управленческие науки // Management Science, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 8(1), pages 72-81.
  37. Emmanuel Olateju Oyatoye & Waheed Oladimeji Arilesere, 2012. "A non-linear programming model for insurance company investment portfolio management in Nigeria," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 4(1), pages 83-100.
  38. Rakesh Gupta & Junhao Yang & Thadavillil Jithendranathan, 2017. "Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 134-162, June.
  39. Stefano Ferretti, 2023. "On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 969-1005, October.
  40. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
  41. Richard Lu, 2016. "The Returns and Risk of Dynamic Investment Strategies: A Simulation Comparison," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 15(1), pages 79-83, June.
  42. Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc, 2005. "Approximations for life annuity contracts in a stochastic financial environment," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 239-269, October.
  43. Ahmad, Mashood & Ali, Syed Babar, 2008. "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper 64521, University Library of Munich, Germany.
  44. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
  45. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  46. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2023. "Randomized Signature Methods in Optimal Portfolio Selection," Papers 2312.16448, arXiv.org.
  47. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  48. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
  49. Georgios Sermpinis & Arman Hassanniakalager & Charalampos Stasinakis & Ioannis Psaradellis, 2018. "Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices," Papers 1811.06766, arXiv.org, revised Jun 2019.
  50. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
  51. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.
  52. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, June.
  53. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
  54. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.
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