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Portfolio insurance trading rules

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  • Richard Bookstaber
  • Joseph A. Langsam

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  • Richard Bookstaber & Joseph A. Langsam, 2000. "Portfolio insurance trading rules," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(1), pages 41-57, January.
    • Handle: RePEc:wly:jfutmk:v:20:y:2000:i:1:p:41-57
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    Cited by:

    1. 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.
    2. Binh Huu Do & Robert W. Faff, 2004. "Do futures‐based strategies enhance dynamic portfolio insurance?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(6), pages 591-608, June.
    3. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
    4. Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.
    5. 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.

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