Portfolio performance under benchmarking relative loss and portfolio insurance : from omega ratio to loss aversion
Tak Wa Ng and Thai Nguyen
| Year of publication: |
2023
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| Authors: | Tak Wa Ng ; Nguyen, Thai |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 53.2023, 1, p. 149-183
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| Subject: | asset allocation | benchmark-reference-based utility | benchmarking | loss aversion | optimal investment | performance measure | portfolio insurance | risk management | Utility maximization | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Benchmarking | Verlust | Loss | Hedging | Performance-Messung | Performance measurement | Erwartungsnutzen | Expected utility | Prospect Theory | Prospect theory | CAPM |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2022.26 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014247652