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Risk-minimising investment strategies — Embedding portfolio optimisation into a dynamic insurance framework

https://doi.org/10.69554/tmux7389
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What this work says

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

inferredcites →https://doi.org/10.1007/s00780-005-0165-8openalex-snapshot
Generalized deviations in risk analysis
inferredcites →https://doi.org/10.1016/0304-405x(77)90017-4openalex-snapshot
Capital market equilibrium in a mean-lower partial moment framework
inferredcites →https://doi.org/10.1016/j.jbankfin.2005.04.013openalex-snapshot
The hidden dangers of historical simulation
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.08.002openalex-snapshot
Performance evaluation of portfolio insurance strategies using stochastic dominance criteria
inferredcites →https://doi.org/10.1016/s0165-1889(03)00109-xopenalex-snapshot
Shortfall as a risk measure: properties, optimization and applications
inferredcites →https://doi.org/10.1016/s0378-4266(02)00271-6openalex-snapshot
Conditional value-at-risk for general loss distributions
inferredcites →https://doi.org/10.1016/s0378-4266(02)00283-2openalex-snapshot
On the coherence of expected shortfall
inferredcites →https://doi.org/10.1098/rspa.2007.1911openalex-snapshot
Markowitz principles for multi-period portfolio selection problems with moments of any order
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-snapshot
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/1467-9965.00121openalex-snapshot
Optimal Portfolios with Bounded Capital at Risk
inferredcites →https://doi.org/10.1111/1468-0300.00091openalex-snapshot
Expected Shortfall: A Natural Coherent Alternative to Value at Risk
inferredcites →https://doi.org/10.1287/educ.1080.0052openalex-snapshot
Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
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/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2525655openalex-snapshot
Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
inferredcites →https://doi.org/10.2469/faj.v43.n6.35openalex-snapshot
The Cost of Portfolio Insurance: Tradeoffs and Choices
inferredcites →https://doi.org/10.2469/faj.v44.n1.16openalex-snapshot
Dynamic Strategies for Asset Allocation
inferredcites →https://doi.org/10.3905/jpm.1987.409131openalex-snapshot
Simplifying portfolio insurance
inferredcites →https://doi.org/10.3905/jpm.1988.409172openalex-snapshot
TIPP
inferredcites →https://doi.org/10.3905/jpm.2006.611801openalex-snapshot
Optimal Rebalancing for Institutional Portfolios

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.2601021openalex-extracted
Smart Beta and CPPI Performance
inferred← citeshttps://doi.org/10.1080/10800379.2020.12097362openalex-snapshot
Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios
inferred← citeshttps://doi.org/10.17836/ec.2017.1.003openalex-snapshot
Portfólió-biztosítási stratégiák – A CPPI stratégia elemzése
inferred← citeshttps://doi.org/10.3917/e.fina.373.0031openalex-snapshot
Smart beta and CPPI performance
inferred← citeshttps://doi.org/10.3917/fina.373.0031openalex-snapshot
Smart beta and CPPI performance
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