Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
type: Item
instance of: scholarly article
title: Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
zbMATH Open document ID: 1178.91175
DOI: 10.1016/S0165-1889(02)00052-0
author: R. Cesari
author: David Cremonini
publication date: 2008-10-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5356608
zbMATH Keywords: trading strategies
zbMATH Keywords: benchmarking
zbMATH Keywords: portfolio insurance
zbMATH Keywords: technical analysis
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: risk-adjusted performance
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
cites work: Portfolio insurance: A simulation under different market conditions
cites work: Theory of constant proportion portfolio insurance
cites work: The pricing of options and corporate liabilities
cites work: Transaction costs and efficiency of portfolio strategies
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5356608