An analysis of risk-based asset allocation and portfolio insurance strategies
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- Zhang, Tao & Zhou, Hongfeng & Li, Larry & Gu, Feng, 2015. "Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 413-422.
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More about this item
KeywordsOBPI; CPPI; Value-at-risk; Expected shortfall; Portfolio insurance; Currency overlay; Reserve management; G11; G20;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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