An analysis of risk-based asset allocation and portfolio insurance strategies
Year of publication: |
2011
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Authors: | Ho, Lan-chih ; Cadle, John ; Theobald, Michael |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 36.2011, 2, p. 247-267
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Subject: | OBPI | CPPI | Value-at-risk | Expected shortfall | Portfolio insurance | Currency overlay | Reserve management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Währungsreserven | Foreign exchange reserves |
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