Stochastic dominance of portfolio insurance strategies OBPI versus CPPI

DOI10.1007/s10479-009-0549-9zbMath1219.91134OpenAlexW101239933MaRDI QIDQ635972

Julia Kraus, Rudi Zagst

Publication date: 25 August 2011

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

Full work available at URL: https://doi.org/10.1007/s10479-009-0549-9

zbMATH Keywords

stochastic dominanceportfolio insuranceCPPIOBPIrisk-averse investorvolatility spread

Mathematics Subject Classification ID

Related Items (11)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Portfolio insurance: gap risk under conditional multiples ⋮ Optimal HARA investments with terminal VaR constraints ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Portfolio optimization with wealth-dependent risk constraints ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ Best portfolio insurance for long-term investment strategies in realistic conditions ⋮ On the optimal design of insurance contracts with guarantees ⋮ PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Cites Work

• The Pricing of Options and Corporate Liabilities
• Entscheidungsregeln bei Risiko: multivariate stochastische Dominanz
• Theory of constant proportion portfolio insurance
• Stochastic calculus for finance. II: Continuous-time models.
• Generalized convex inequalities

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