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HOW GOOD ARE PORTFOLIO INSURANCE STRATEGIES?

https://doi.org/10.1142/9789814280112_0010
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1096-9934(200001)20:1<41::aid-fut5>3.0.co;2-4openalex-snapshot
Portfolio insurance trading rules
inferredcites →https://doi.org/10.1007/bf00122574openalex-snapshot
Advances in prospect theory: Cumulative representation of uncertainty
inferredcites →https://doi.org/10.1007/bf03342702openalex-snapshot
The Risk Management of Minimum Return Guarantees
inferredcites →https://doi.org/10.1007/s007800050063openalex-snapshot
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
inferredcites →https://doi.org/10.1007/s10479-009-0549-9openalex-snapshot
Stochastic dominance of portfolio insurance strategies
inferredcites →https://doi.org/10.1016/0022-0531(71)90038-xopenalex-snapshot
Optimum consumption and portfolio rules in a continuous-time model
inferredcites →https://doi.org/10.1016/0165-1889(92)90043-eopenalex-snapshot
Theory of constant proportion portfolio insurance
inferredcites →https://doi.org/10.1016/0304-405x(76)90003-9openalex-snapshot
The pricing of equity-linked life insurance policies with an asset value guarantee
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.05.006openalex-snapshot
Optimal pension insurance design
inferredcites →https://doi.org/10.1016/j.jedc.2003.11.005openalex-snapshot
Optimal portfolio management with American capital guarantee
inferredcites →https://doi.org/10.1016/j.jedc.2008.04.013openalex-snapshot
Effectiveness of CPPI strategies under discrete-time trading
inferredcites →https://doi.org/10.1016/s0165-1889(01)00043-4openalex-snapshot
A comparative study of portfolio insurance
inferredcites →https://doi.org/10.1016/s0165-1889(02)00052-0openalex-snapshot
Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
inferredcites →https://doi.org/10.1016/s0165-1889(99)00066-4openalex-snapshot
Optimal investment with minimum performance constraints
inferredcites →https://doi.org/10.1016/s0165-1889(99)00089-5openalex-snapshot
Optimal portfolio policies with borrowing and shortsale constraints
inferredcites →https://doi.org/10.1016/s0165-1889(99)00095-0openalex-snapshot
On dynamic investment strategies
inferredcites →https://doi.org/10.1017/cbo9780511609220.014openalex-snapshot
Prospect theory: An analysis of decision under risk
inferredcites →https://doi.org/10.1080/13504869500000005openalex-snapshot
Pricing and hedging derivative securities in markets with uncertain volatilities
inferredcites →https://doi.org/10.1080/13504869500000007openalex-snapshot
Uncertain volatility and the risk-free synthesis of derivatives
inferredcites →https://doi.org/10.1086/296472openalex-snapshot
Portfolio Insurance and Financial Market Equilibrium
inferredcites →https://doi.org/10.1086/296473openalex-snapshot
Portfolio Insurance in Complete Markets: A Note
inferredcites →https://doi.org/10.1093/acprof:oso/9780199585496.001.0001openalex-snapshot
Financial Asset Pricing Theory
inferredcites →https://doi.org/10.1093/rfs/8.4.1059openalex-snapshot
A General Equilibrium Model of Portfolio Insurance
inferredcites →https://doi.org/10.1111/0022-1082.00108openalex-snapshot
Optimal Risk Management Using Options
inferredcites →https://doi.org/10.1111/1467-9965.00047openalex-snapshot
Robustness of the Black and Scholes Formula
inferredcites →https://doi.org/10.1111/j.1467-9965.1993.tb00044.xopenalex-snapshot
OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02190.xopenalex-snapshot
Who Should Buy Portfolio Insurance?
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb02386.xopenalex-snapshot
On the Optimality of Portfolio Insurance
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04073.xopenalex-snapshot
Equilibrium Analysis of Portfolio Insurance
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05218.xopenalex-snapshot
General Properties of Option Prices
inferredcites →https://doi.org/10.1142/2713#t=tocopenalex-snapshot
Exotic Options: A Guide To Second Generation Options
inferredcites →https://doi.org/10.1214/aoap/1027961040openalex-snapshot
Volatility misspecification, option pricing and superreplication via coupling
inferredcites →https://doi.org/10.2139/ssrn.1021084openalex-snapshot
Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.450061openalex-snapshot
Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic
inferredcites →https://doi.org/10.2307/41166528openalex-snapshot
Portfolio Insurance and October 19th
inferredcites →https://doi.org/10.3905/jpm.1987.409131openalex-snapshot
Simplifying portfolio insurance

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2015852openalex-extracted
Constant Proportion Portfolio Insurance Under Regime Switching Exponential L evy Process
inferred← citeshttps://doi.org/10.2139/ssrn.2432233openalex-extracted
Discrete-Time CPPI Under Transaction Cost and Regime Switching
inferred← citeshttps://doi.org/10.2139/ssrn.3424804openalex-extracted
A Collective Investment Problem in a Stochastic Volatility Environment: The Impact of Sharing Rules
inferred← citeshttps://doi.org/10.2139/ssrn.4725425openalex-extracted
The Repayment Structure of Agricultural Loans Under a Full Repayment Constraint
inferred← citeshttps://doi.org/10.1007/978-981-99-2318-2_5openalex-snapshot
Stock Market Crash of 1987: Black Monday
inferred← citeshttps://doi.org/10.1007/s10436-016-0279-3openalex-snapshot
How suboptimal are linear sharing rules?
inferred← citeshttps://doi.org/10.1007/s10479-017-2449-8openalex-snapshot
Constant proportion portfolio insurance in defined contribution pension plan management
inferred← citeshttps://doi.org/10.1007/s10479-021-03983-8openalex-snapshot
A collective investment problem in a stochastic volatility environment: The impact of sharing rules
inferred← citeshttps://doi.org/10.1007/s12297-013-0250-6openalex-snapshot
The market of dynamic hybrid products in Germany: concept, risk-return profiles, and market overview
inferred← citeshttps://doi.org/10.1007/s13385-013-0061-0openalex-snapshot
Return distributions of equity-linked retirement plans under jump and interest rate risk
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2013.03.001openalex-snapshot
Constant proportion portfolio insurance under a regime switching exponential Lévy process
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2015.09.016openalex-snapshot
A utility- and CPT-based comparison of life insurance contracts with guarantees
inferred← citeshttps://doi.org/10.1017/aae.2025.10023openalex-snapshot
The Repayment Structure of Agricultural Loans under a Full Repayment Constraint
inferred← citeshttps://doi.org/10.1080/03461238.2014.954606openalex-snapshot
Dynamic preferences for popular investment strategies in pension funds
inferred← citeshttps://doi.org/10.1080/03461238.2026.2620636openalex-snapshot
Option-based portfolio and consumption insurance (OBPCI)
inferred← citeshttps://doi.org/10.1142/s0219024912500239openalex-snapshot
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT
inferred← citeshttps://doi.org/10.3917/e.fina.342.0065openalex-snapshot
A scenario-based description of optimal American capital guaranteed strategies
inferred← citeshttps://doi.org/10.4028/www.scientific.net/amm.687-691.4848openalex-snapshot
The Efficacy of CPPI and VBPI Based on Stationary Bootstrap Method
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