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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
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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 41 - 50 of 58
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Portfolio insurance : gap rising under conditional multiples
Ameur, H. Ben; Prigent, Jean-Luc - In: European journal of operational research : EJOR 236 (2014) 1, pp. 238-253
Persistent link: https://www.econbiz.de/10010361725
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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of economic dynamics & control 46 (2014), pp. 1-29
Persistent link: https://www.econbiz.de/10010474410
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Model-free CPPI
Schied, Alexander - In: Journal of economic dynamics & control 40 (2014), pp. 84-94
Persistent link: https://www.econbiz.de/10010424446
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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of Economic Dynamics and Control 46 (2014) C, pp. 1-29
“Constant proportion portfolio insurance” is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with respect to market conditions, via a fixed parameter (the multiple), guaranteeing a predetermined floor. We propose here to use a...
Persistent link: https://www.econbiz.de/10011051913
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Model-free CPPI
Schied, Alexander - In: Journal of Economic Dynamics and Control 40 (2014) C, pp. 84-94
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic … Itô calculus, which makes no probabilistic assumptions whatsoever. This shows, on one hand, that CPPI and DPPI are …
Persistent link: https://www.econbiz.de/10011051922
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Portfolio insurance: Gap risk under conditional multiples
Ben Ameur, H.; Prigent, J.L. - In: European Journal of Operational Research 236 (2014) 1, pp. 238-253
“Option Based Portfolio Insurance” (OBPI) and Perold (1986) for the “Constant Proportion Portfolio Insurance” method (CPPI … CPPI method when the multiple is allowed to vary over time. To control the risk of such portfolio management, a quantile …
Persistent link: https://www.econbiz.de/10011052656
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Dynamically opted protection envelope (DOPE) - A cost-effective strategy of insuring an investment portfolio
Bhattacharya, Sukanto; Kumar, Kuldeep - 2007
(CPPI) strategy or by means of an options-based portfolio insurance strategy (OBPI). However both have drawbacks in terms of …. Unlike CPPI and OBPI, it will work in a crash situation too. …
Persistent link: https://www.econbiz.de/10009484099
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Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices
Cont, Rama; Tankov, Peter - HAL - 2007
Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside … of CPPI strategies in models where the price of the underlying portfolio may experience downward jumps. This allows to …
Persistent link: https://www.econbiz.de/10008793905
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A portfolio insurance strategy for commodity futures
Lo, Chia Chun; Skindilias, Konstantinos - In: International journal of financial engineering and risk … 1 (2013) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10010197980
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Long-term optimal portfolios with floor
Sekine, Jun - In: Finance and Stochastics 16 (2012) 3, pp. 369-401
Persistent link: https://www.econbiz.de/10010557974
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