Performance evaluation of optimized portfolio insurance strategies
Year of publication: |
2014
|
---|---|
Authors: | Zieling, Daniel ; Mahayni, Antje ; Balder, Sven |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 43.2014, C, p. 212-225
|
Publisher: |
Elsevier |
Subject: | Portfolio insurance | Performance evaluation | S&P 500 | Regime switching EGARCH-M model | Transaction costs | Trigger trading | Gap risk |
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