Performance evaluation of optimized portfolio insurance strategies
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DOI: 10.1016/j.jbankfin.2014.03.027
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Citations
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Cited by:
- Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
- Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018.
"“On the (Ab)use of Omega?”,"
Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
- Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
- Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
- Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018. "“On the (Ab)use of Omega?”," Post-Print hal-02312145, HAL.
- Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
- 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.
- David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
- Andreas Lichtenstern & Pavel V. Shevchenko & Rudi Zagst, 2019. "Optimal life-cycle consumption and investment decisions under age-dependent risk preferences," Papers 1908.09976, arXiv.org.
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More about this item
Keywords
Portfolio insurance; Performance evaluation; S&P 500; Regime switching EGARCH-M model; Transaction costs; Trigger trading; Gap risk;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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