Model for dynamic multiple of CPPI strategy

DOI10.1155/2014/260484zbMath1422.91729OpenAlexW2132804767WikidataQ59038806 ScholiaQ59038806MaRDI QIDQ2320718

Yong Xue, Xiaokang Wu, Guangyuan Xing, Zongxian Feng

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/260484

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• BUGS

Cites Work

• Theoretical foundations of constant-proportion portfolio insurance
• Theory of constant proportion portfolio insurance
• Statistical inference using extreme order statistics
• Generalized autoregressive conditional heteroscedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• Effectiveness of CPPI strategies under discrete-time trading
• BUGS for a Bayesian analysis of stochastic volatility models
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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