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.:
- Suleyman Basak & Alex Shapiro, .
"Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices,"
Rodney L. White Center for Financial Research Working Papers
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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 6-99, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Alexander Shapiro, 1999. "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-032, New York University, Leonard N. Stern School of Business-.
- repec:wop:humbsf:2001-55 is not listed on IDEAS
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"Option Pricing and Replication with Transactions Costs,"
Research Program in Finance Working Papers
144, University of California at Berkeley.
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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.
- Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Working Papers 02-2, Bank of Canada.
- Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org.
- 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.
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