Equity portfolio insurance against a benchmark: Setting, replication and optimality
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DOI: 10.1016/j.econmod.2013.11.031
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Cited by:
- Zagst, Rudi & Kraus, Julia & Bertrand, Philippe, 2019.
"Option-Based performance participation,"
Journal of Banking & Finance, Elsevier, vol. 105(C), pages 44-61.
- Rudi Zagst & Julia Kraus & Philippe Bertrand, 2019. "Option-Based performance participation," Post-Print hal-02142054, HAL.
- Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
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More about this item
Keywords
Portfolio insurance; Equity benchmark; Perpetual exchange options; Utility maximization;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General
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