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Year of publication
Subject
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CPPI 50 Portfolio-Management 21 Portfolio selection 20 Portfolio insurance 15 Theorie 15 Theory 15 Altersvorsorge 10 Deutschland 9 Garantiefonds 9 Hedging 9 Asset-Melt-down 7 Sparpläne 7 Dynamic Hedging 6 OBPI 6 Portfolio Insurance 6 Rendite 6 VaR 6 Germany 5 Simulation 5 portfolio insurance 5 Expected shortfall 4 Expectile 4 Private Altersvorsorge 4 Private retirement provision 4 Risiko 4 Risikomanagement 4 Risk 4 Risk management 4 Zinsstruktur 4 CAViaR 3 Investmentfonds 3 Private Rentenversicherung 3 Quantile Regression 3 Risikomaß 3 Risk measure 3 Schätzung 3 Stochastic process 3 Variable Annuities 3 Volatility 3 Volatilität 3
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Online availability
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Free 27 Undetermined 24
Type of publication
All
Article 31 Book / Working Paper 27
Type of publication (narrower categories)
All
Article in journal 19 Aufsatz in Zeitschrift 19 Working Paper 7 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1 research-article 1
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Language
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English 27 Undetermined 20 German 10 French 1
Author
All
Prigent, Jean-Luc 11 Wystup, Uwe 11 Hamidi, Benjamin 8 Maillet, Bertrand 8 Weber, Andreas 8 Becker, Christoph 3 Cadle, John 2 Chakrabarty, Anindya 2 Detering, Nils 2 Dubey, Rameshwar 2 Ho, Lan-chih 2 Hohmann, Ralf 2 Jiang, Shan 2 Jurczenko, Emmanuel 2 Luo, Zongwei 2 Schied, Alexander 2 Sekine, Jun 2 Theobald, Michael 2 Zagst, Rudi 2 Ameur, H. Ben 1 An, Yunbi 1 Ben Ameur, H. 1 Ben-Ameur, Hatem 1 Bhattacharya, Sukanto 1 Biedova, Olga 1 Buccioli, Alice 1 Chen, Bingzheng 1 Chen, Ze 1 Cont, Rama 1 Dersch, Dominik 1 Dupret, Jean-Loup 1 Escobar, Marcos 1 Fulli-Lemaire, Nicolas 1 Gu, Feng 1 HAMIDI, Benjamin 1 Hainaut, Donatien 1 Hayashi, Tadashi 1 Hu, Yi 1 Jiang, Chonghui 1 Jung, Young Cheol 1
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Institution
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Frankfurt School of Finance and Management 4 HAL 4 Institut de Préparation à l'Administration et à la Gestion (IPAG) 4 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 1 Springer Fachmedien Wiesbaden 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
All
CPQF Working Paper Series 8 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 4 International journal of theoretical and applied finance 3 Working paper series / Centre for Practical Quantitative Finance 3 Documents de travail du Centre d'Economie de la Sorbonne 2 European journal of operational research : EJOR 2 Finance research letters 2 Journal of Economic Dynamics and Control 2 Journal of economic dynamics & control 2 MPRA Paper 2 Post-Print / HAL 2 Working Papers / HAL 2 essentials 2 Alternative investments and strategies : credit, derivatives, CPPI, investments, risk 1 Applied Mathematical Finance 1 Asia-Pacific Financial Markets 1 Business Process Management Journal 1 Business process management journal 1 Economic systems 1 European Journal of Operational Research 1 European financial management : the journal of the European Financial Management Association 1 Finance and Stochastics 1 International Review of Financial Analysis 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 Review of quantitative finance and accounting 1 Risks 1 Risks : open access journal 1 SpringerLink / Bücher 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1 Working Papers / Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 1 World Scientific Books 1
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Source
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RePEc 26 ECONIS (ZBW) 25 EconStor 5 BASE 1 Other ZBW resources 1
Showing 21 - 30 of 58
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A theoretical model of jump diffusion-mean reversion
Chakrabarty, Anindya; Luo, Zongwei; Dubey, Rameshwar; … - In: Business Process Management Journal 23 (2017) 3, pp. 537-554
the short-term interest rate. The floor of the CPPI strategy is linked to the stochastic process driving the value of a … CPPI algorithm by re-defining the floor of the algorithm to be a stochastic mean reverting process which is guided by the …
Persistent link: https://www.econbiz.de/10014688128
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On the stochastic dominance of portfolio insurance strategies
Maalej, Hela; Prigent, Jean-Luc - In: Journal of mathematical finance 6 (2016) 1, pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
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A portfolio insurance strategy for volatility index (VIX) futures
Jung, Young Cheol - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 189-200
Persistent link: https://www.econbiz.de/10011627439
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Return distributions of equity-linked retirement plans
Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010
stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …
Persistent link: https://www.econbiz.de/10010303923
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Return distributions of equity-linked retirement plans
Detering, Nils; Weber, Andreas; Wystup, Uwe - Frankfurt School of Finance and Management - 2010
stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …
Persistent link: https://www.econbiz.de/10008833260
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Optimal rebalance rules for the constant proportion portfolio insurance strategy : evidence from China
Zhang, Tao; Zhou, Hongfeng; Li, Larry; Gu, Feng - In: Economic systems 39 (2015) 3, pp. 413-422
Persistent link: https://www.econbiz.de/10011532304
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A Risk Management Approach for Portfolio Insurance Strategies.
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the … to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In …
Persistent link: https://www.econbiz.de/10004991602
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D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?.
Hamidi, Benjamin; Jurczenko, Emmanuel; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of …
Persistent link: https://www.econbiz.de/10004991605
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D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?
Hamidi, Benjamin; Jurczenko, Emmanuel; Maillet, Bertrand - HAL - 2009
Dans le cadre de l'assurance de portefeuille à coussin, le multiple garantit une exposition constante au risque. Nous proposons une méthode alternative d'estimation conditionnelle de ce multiple, basée sur une modélisation dynamique du centile et la méthode de régression sur quantile....
Persistent link: https://www.econbiz.de/10010738611
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Cover Image
A Risk Management Approach for Portfolio Insurance Strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2009
-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the … to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In …
Persistent link: https://www.econbiz.de/10010738637
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