Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: International Review of Financial Analysis 18 (2009) 4, pp. 185-197
This paper proposes an approach to constructing the insured portfolios under the VaR-based portfolio insurance strategy (VBPI) and provides a comprehensive analysis of its hedging effectiveness in comparison with the buy-and-hold (B&H) as well as the constant proportion portfolio insurance...