Portfolio Insurance with Liquidity Risk
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References listed on IDEAS
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- Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
More about this item
KeywordsPortfolio insurance; Optimal strategy; Liquidity;
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