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Search: subject:"option-based portfolio insurance"
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Portfolio selection
2
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American put option
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CRRA utility
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Capital guarantee products
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Certainty equivalent return
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Constant proportion portfolio insurance
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Martingal
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Martingale
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Option based portfolio insurance
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Option based portfolio insurance (OBPI)
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Option pricing theory
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Option-based portfolio insurance
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Optionspreistheorie
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Portfolio optimization
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Han, Liyan
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Yin, Libo
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Computational Economics
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Insurance: Mathematics and Economics
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Hedging International Foreign Exchange Risks via
Option
Based
Portfolio
Insurance
Yin, Libo
;
Han, Liyan
- In:
Computational Economics
45
(
2015
)
1
,
pp. 151-181
This paper proposes an
option-based
portfolio
insurance
method for international foreign exchange risk hedging. Each …
Persistent link: https://www.econbiz.de/10011155128
Saved in:
2
Optimal consumption and investment with labor income and European/American capital guarantee
Kronborg, Morten Tolver
- In:
Risks : open access journal
2
(
2014
)
2
,
pp. 171-194
the
option-based
portfolio
insurance
type. The optimal strategy combines a long position in the optimal unrestricted …
Persistent link: https://www.econbiz.de/10010399774
Saved in:
3
Risk-adjusted performance of portfolio insurance and investors' preferences
Tawil, Dima
- In:
Finance research letters
24
(
2018
),
pp. 10-18
Persistent link: https://www.econbiz.de/10011982441
Saved in:
4
Best portfolio insurance for long-term investment strategies in realistic conditions
Pézier, Jacques
;
Scheller, Johanna
- In:
Insurance: Mathematics and Economics
52
(
2013
)
2
,
pp. 263-274
, optimal CPPI strategies are still superior to optimal
option
based
portfolio
insurance
(OBPI) strategies. The effects of …
Persistent link: https://www.econbiz.de/10010662447
Saved in:
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