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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of economic dynamics & control"
~person:"Mahayni, Antje"
~person:"Prigent, Jean-Luc"
~subject:"Portfolio selection"
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Model-free CPPI
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Portfolio selection
Portfolio-Management
9
Theorie
8
Theory
8
Finance
3
Hedging
3
Portfolio insurance
3
Volatility
3
Volatilität
3
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Mahayni, Antje
Prigent, Jean-Luc
Liesiö, Juuso
13
Li, Duan
11
Salo, Ahti A.
10
Lioui, Abraham
9
Kraft, Holger
8
Steuer, Ralph E.
7
Fabozzi, Frank J.
6
Forsyth, Peter A.
6
Rustem, Berç
6
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6
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5
Munk, Claus
5
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5
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5
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5
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5
Bodnar, Taras
4
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4
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4
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4
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4
Levy, Moshe
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4
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4
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3
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European journal of operational research : EJOR
Journal of economic dynamics & control
International journal of business
7
Economic modelling
5
Finance : revue de l'Association Française de Finance
5
Diskussionsbeiträge der Mercator School of Management der Universität Duisburg-Essen, Campus Duisburg
4
Journal of banking & finance
4
29th International Conference of the French Finance Association (AFFI) 2012
2
Computational economics
2
Review of derivatives research
2
Aktuelle Entwicklungslinien in der Finanzwirtschaft ; Teil 2
1
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
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Annals of operations research
1
Bonn Econ Discussion Papers / BGSE
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Chapman & Hall/CRC financial mathematics series
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Decision making and risk/return optimization in financial economics
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International Conference of the French Finance Association (AFFI), May 11-13, 2011
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ECONIS (ZBW)
9
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1
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
Saved in:
2
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:
3
Time-consistency of optimal investment under smooth ambiguity
Balter, Anne G.
;
Mahayni, Antje
;
Schweizer, Nikolaus
- In:
European journal of operational research : EJOR
293
(
2021
)
2
,
pp. 643-657
Persistent link: https://www.econbiz.de/10012513245
Saved in:
4
Optimal investment in ambiguous financial markets with learning
Bäuerle, Nicole
;
Mahayni, Antje
- In:
European journal of operational research : EJOR
315
(
2024
)
1
,
pp. 393-410
Persistent link: https://www.econbiz.de/10014562844
Saved in:
5
Robustness
of stable volatility strategies
Branger, Nicole
;
Mahayni, Antje
;
Zieling, Daniel
- In:
Journal of economic dynamics & control
60
(
2015
),
pp. 134-151
Persistent link: https://www.econbiz.de/10011575084
Saved in:
6
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
Saved in:
7
Minimum return guarantees with fund switching rights : an optimal stopping problem
Mahayni, Antje
;
Schoenmakers, John
- In:
Journal of economic dynamics & control
35
(
2011
)
11
,
pp. 1880-1897
Persistent link: https://www.econbiz.de/10009316471
Saved in:
8
On the optimality of path-dependent structured funds : the cost of standardization
Bertrand, Philippe
;
Prigent, Jean-Luc
- In:
European journal of operational research : EJOR
277
(
2019
)
1
,
pp. 333-350
Persistent link: https://www.econbiz.de/10012015036
Saved in:
9
Effectiveness of
CPPI
strategies under discrete-time trading
Balder, Sven
;
Brandl, Michael
;
Mahayni, Antje
- In:
Journal of economic dynamics & control
33
(
2009
)
1
,
pp. 204-220
Persistent link: https://www.econbiz.de/10003810186
Saved in:
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