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An analysis of risk-based asset allocation and portfolio insurance strategies

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  • Lan-chih Ho

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  • John Cadle
  • Michael Theobald
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-010-0175-2
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 36 (2011)
    Issue (Month): 2 (February)
    Pages: 247-267

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    Handle: RePEc:kap:rqfnac:v:36:y:2011:i:2:p:247-267

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: OBPI; CPPI; Value-at-risk; Expected shortfall; Portfolio insurance; Currency overlay; Reserve management; G11; G20;

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    References

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    1. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    2. Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Working Papers 02-2, Bank of Canada.
    3. Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
    4. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, Elsevier, vol. 2(3), pages 231-237, December.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(6), pages 987-1011, April.
    7. Jaschke, Stefan R., 2001. "Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes," SFB 373 Discussion Papers 2001,55, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    8. Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers, University of California at Berkeley 144, University of California at Berkeley.
    9. Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
    10. repec:wop:humbsf:2001-55 is not listed on IDEAS
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    Cited by:
    1. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

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