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
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