Dynamic portfolio insurance strategies: risk management under Johnson distributions

DOI10.1007/S10479-016-2121-8zbMath1416.91356OpenAlexW2290907113MaRDI QIDQ1615814

Naceur Naguez

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_329.pdf

zbMATH Keywords

portfolio insurancehedge fundsCVaRgap riskCPPIVaRJohnson distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Uses Software

• AS 99
• CAViaR

Cites Work

• Portfolio insurance: gap risk under conditional multiples
• Theory of constant proportion portfolio insurance
• Quantile hedging
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• The Johnson System: Selection and Parameter Estimation

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