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Optimal Portfolio Insurance

Citations

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Cited by:

  1. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
  2. Mei Choi Chiu & Hoi Ying Wong & Duan Li, 2012. "Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events," Risk Analysis, John Wiley & Sons, vol. 32(11), pages 1856-1872, November.
  3. repec:ipg:wpaper:2014-330 is not listed on IDEAS
  4. Evan Gatev & Stephen A. Ross, 2000. "Rebels, Conformists, Contrarians and Momentum Traders," NBER Working Papers 7835, National Bureau of Economic Research, Inc.
  5. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
  6. Dilip B. Madan & Yazid M. Sharaiha, 2015. "Option overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1175-1190, July.
  7. Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
  8. Franke, Günter & Weber, Martin, 1997. "Risk-value efficient portfolios and asset pricing," Discussion Papers, Series II 354, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  9. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
  10. Scheuenstuhl, Gerhard & Zagst, Rudi, 2008. "Integrated portfolio management with options," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1477-1500, March.
  11. Wolfgang Breuer & Marc Gurtler, 2006. "Performance Evaluation, Portfolio Selection, and HARA Utility," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 649-669.
  12. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  13. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
  14. Franke, Günter & Weber, Martin, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers 01/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
  15. Dennis Vrecko & Thomas Langer, 2013. "What Are Investors Willing to Pay to Customize Their Investment Product?," Management Science, INFORMS, vol. 59(8), pages 1855-1870, August.
  16. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  17. Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
  18. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute.
  19. Dennis R. Capozza & George W. Gau, 1984. "Mortgage Rate Insurance and the Canadian Mortgage Market," Canadian Public Policy, University of Toronto Press, vol. 10(3), pages 296-304, September.
  20. Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
  21. Blake, David, 1998. "Pension schemes as options on pension fund assets: implications for pension fund management," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 263-286, December.
  22. Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
  23. Jacques Pézier & Johanna Scheller, 2012. "Average Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2012-05, Henley Business School, University of Reading.
  24. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
  25. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
  26. André de Palma & Jean-Luc Prigent, 2007. "Hedging global environment risks: An option based portfolio insurance," THEMA Working Papers 2007-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  27. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
  28. Diana Barro & Elio Canestrelli, 2014. "Downside risk in multiperiod tracking error models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
  29. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
  30. Breuer, Wolfgang & Gürtler, Marc, 2002. "Performance evaluation, portfolio selection, and HARA utility," Working Papers FW01V4, Technische Universität Braunschweig, Institute of Finance.
  31. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
  32. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1995. "Who buys and who sells options: The role and pricing of options in an economy with background risk," Discussion Papers, Series II 253, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  33. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  34. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
  35. Hayne E. Leland., 1996. "Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies," Research Program in Finance Working Papers RPF-263-rev, University of California at Berkeley.
  36. Jacques Pézier, 2011. "Rationalization of Investment Preference Criteria," ICMA Centre Discussion Papers in Finance icma-dp2011-12, Henley Business School, University of Reading.
  37. Michele Bisceglia & Paola Zola, 2018. "Dollar-Cost Averaging with Yearly and Biyearly Installments," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(1), pages 1-14, February.
  38. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
  39. Mark Cassano, 2002. "Disagreement and equilibrium option trading volume," Review of Derivatives Research, Springer, vol. 5(2), pages 153-179, May.
  40. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011. "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, vol. 146(1), pages 346-358, January.
  41. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
  42. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.
  43. Joel M. Vanden, 2006. "Portfolio Insurance And Volatility Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 387-417, April.
  44. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
  45. Rania Hentati & Jean-Luc Prigent, 2011. "Portfolio Optimization Within Mixture Of Distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00607105, HAL.
  46. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
  47. Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.
  48. Hachmi Ben Ameur & Mouna Boujelbène & J. L. Prigent & Emna Triki, 2020. "Optimal Portfolio Positioning on Multiple Assets Under Ambiguity," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 21-57, June.
  49. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  50. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1992. "Idiosyncratic risk, sharing rules, and the theory of risk bearing," Discussion Papers, Series II 181, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  51. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers 621, Kyoto University, Institute of Economic Research.
  52. Lu, Richard & Horng, Tzyy-Leng & Horng, Min-Sun & Wang, Amy Z.-H., 2023. "A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 269-276.
  53. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
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