Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
type: Item
instance of: scholarly article
title: Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
zbMATH Open document ID: 1219.91134
author: R. Zagst
author: Julia Kraus
published in: Annals of Operations Research
publication date: 2011-08-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 60E15
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5942438
zbMATH Keywords: portfolio insurance
zbMATH Keywords: CPPI
zbMATH Keywords: OBPI
zbMATH Keywords: stochastic dominance
zbMATH Keywords: volatility spread
zbMATH Keywords: risk-averse investor
MaRDI profile type: Publication
full work available at URL: s10479-009-0549-9
OpenAlex ID: W101239933
cites work: Theory of constant proportion portfolio insurance
cites work: The pricing of options and corporate liabilities
cites work: Generalized convex inequalities
cites work: Entscheidungsregeln bei Risiko: multivariate stochastische Dominanz
cites work: Stochastic calculus for finance. II: Continuous-time models.
DOI: 10.1007/S10479-009-0549-9
description: scientific article; zbMATH DE number 5942438