An analysis of risk-based asset allocation and portfolio insurance strategies
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 36 (2011)
Issue (Month): 2 (February)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
OBPI; CPPI; Value-at-risk; Expected shortfall; Portfolio insurance; Currency overlay; Reserve management; G11; G20;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 06-99, Wharton School Rodney L. White Center for Financial Research.
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- 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.
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- repec:wop:humbsf:2001-55 is not listed on IDEAS
- 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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