Effectiveness of CPPI strategies under discrete-time trading

DOI10.1016/j.jedc.2008.04.013zbMath1170.91369OpenAlexW3123957197MaRDI QIDQ2271619

Sven Balder, Antje Mahayni, Michael Brandl

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.04.013

zbMATH Keywords

portfolio insurancegap riskvolatility riskdiscrete-time tradingreturn guarantees

Mathematics Subject Classification ID

Related Items (16)

Portfolio insurance: gap risk under conditional multiples ⋮ PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ Constant proportion portfolio insurance under a regime switching exponential Lévy process ⋮ PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products ⋮ On the optimal design of insurance contracts with guarantees ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ Model-free CPPI ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Dynamic hybrid products with guarantees -- an optimal portfolio framework ⋮ Model for dynamic multiple of CPPI strategy

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