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Search: subject:"CPPI"
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CPPI
22
Portfolio-Management
19
Portfolio selection
18
Theorie
13
Theory
13
Portfolio insurance
8
Hedging
7
OBPI
4
Risiko
4
Risk
4
portfolio insurance
4
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3
Risikomaß
3
Risk management
3
Risk measure
3
Stochastic process
3
Volatility
3
Volatilität
3
CIR
2
CPPI strategy
2
Constant Proportion Portfolio Insurance
2
Expected shortfall
2
Guaranteed Products
2
HJB-Equation
2
Jump diffusion model
2
Mathematical programming
2
Mathematische Optimierung
2
Monte Carlo simulation
2
Private Pension Plans
2
Riester-Rente
2
Stochastischer Prozess
2
capital guarantee mechanisms
2
retirement provision plan
2
stop loss
2
ARCH model
1
ARCH-Modell
1
Affine GARCH models
1
Altersvorsorge
1
Banking
1
Barret and Donald Test
1
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7
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Article
23
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20
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10
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Prigent, Jean-Luc
5
Chakrabarty, Anindya
2
Detering, Nils
2
Dubey, Rameshwar
2
Hamidi, Benjamin
2
Jiang, Shan
2
Luo, Zongwei
2
Maillet, Bertrand
2
Weber, Andreas
2
Wystup, Uwe
2
Ameur, H. Ben
1
Ben-Ameur, Hatem
1
Bhattacharya, Sukanto
1
Biedova, Olga
1
Buccioli, Alice
1
Cadle, John
1
Chen, Bingzheng
1
Chen, Ze
1
Cont, Rama
1
Dersch, Dominik
1
Dupret, Jean-Loup
1
Escobar, Marcos
1
Gu, Feng
1
Hainaut, Donatien
1
Ho, Lan-chih
1
Hu, Yi
1
Jung, Young Cheol
1
Kokholm, Thomas
1
Kumar, Kuldeep
1
Li, Larry
1
Lo, Chia Chun
1
Maalej, Hela
1
Marquet, Ine
1
Schied, Alexander
1
Schoutens, Wim
1
Skindilias, Konstantinos
1
Spies, Ben
1
Steblovskaya, Victoria
1
Tankov, Peter
1
Tawil, Dima
1
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Frankfurt School of Finance and Management
1
HAL
1
Published in...
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International journal of theoretical and applied finance
3
CPQF Working Paper Series
2
European journal of operational research : EJOR
2
Finance research letters
2
Journal of economic dynamics & control
2
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
Business Process Management Journal
1
Business process management journal
1
Documents de travail du Centre d'Economie de la Sorbonne
1
Economic systems
1
European financial management : the journal of the European Financial Management Association
1
International journal of financial engineering and risk management
1
Journal of mathematical finance
1
Journal of risk management in financial institutions
1
Quantitative finance
1
Review of quantitative finance and accounting
1
Risks
1
Risks : open access journal
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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1
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ECONIS (ZBW)
20
RePEc
3
EconStor
2
BASE
1
Other ZBW resources
1
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27
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date (oldest first)
1
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
2
Hedge inflation risk of specific purpose guarantee funds
Chen, Ze
;
Chen, Bingzheng
;
Hu, Yi
;
Zhang, Hai
- In:
European financial management : the journal of the …
28
(
2022
)
4
,
pp. 1104-1136
Persistent link: https://www.econbiz.de/10013415745
Saved in:
3
Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
4
Multiplier optimization for constant proportion portfolio insurance (
cppi
) strategy
Biedova, Olga
;
Steblovskaya, Victoria
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
Saved in:
5
An optimal Turkish private pension plan with a guarantee feature
İşcanog̃lu-Çekiç, Ayşegül
- In:
Risks
4
(
2016
)
3
,
pp. 1-12
with a guarantee feature that is based on Constant Proportion Portfolio Insurance (
CPPI
). We derive a closed form formula …
Persistent link: https://www.econbiz.de/10011709567
Saved in:
6
An optimal Turkish private pension plan with a guarantee feature
İşcanoğlu Çekiç, Ayşegül
- In:
Risks : open access journal
4
(
2016
)
3
,
pp. 1-12
with a guarantee feature that is based on Constant Proportion Portfolio Insurance (
CPPI
). We derive a closed form formula …
Persistent link: https://www.econbiz.de/10011507764
Saved in:
7
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:
8
Constant proportion portfolio insurance strategies in contagious markets
Buccioli, Alice
;
Kokholm, Thomas
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 311-331
Persistent link: https://www.econbiz.de/10011906349
Saved in:
9
Risk management of time varying floors for dynamic portfolio insurance
Ben-Ameur, Hatem
;
Prigent, Jean-Luc
- In:
European journal of operational research : EJOR
269
(
2018
)
1
,
pp. 363-381
Persistent link: https://www.econbiz.de/10011864356
Saved in:
10
Conic CPPIs
Marquet, Ine
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011854583
Saved in:
1
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