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Theoretical Foundations of Constant-Proportion Portfolio Insurance

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  • Kingston, Geoffrey

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File URL: http://hdl.handle.net/2123/7583
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Bibliographic Info

Paper provided by University of Sydney, School of Economics in its series Working Papers with number 116.

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Date of creation: Oct 1988
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Handle: RePEc:syd:wpaper:2123/7583

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Postal: Sydney, NSW 2006
Phone: 61 +2 9351 5055
Fax: 61 +2 9351 4341
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Web page: http://sydney.edu.au/arts/economics
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Cited by:
  1. Christophe Boucher & Gregory Jannin & Bertrand Maillet & Patrick Kouontchou, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Working Papers halshs-00825303, HAL.
  2. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
  3. Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. repec:hal:journl:halshs-00389773 is not listed on IDEAS
  5. Binh Huu Do, 2002. "Relative performance of dynamic portfolio insurance strategies: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 42(3), pages 279-296.

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