Theoretical foundations of constant-proportion portfolio insurance

DOI10.1016/0165-1765(89)90214-0zbMath1328.91268OpenAlexW2008763048MaRDI QIDQ902656

Geoffrey H. Kingston

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2123/7583

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Model for dynamic multiple of CPPI strategy

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model

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