Similar Search Results

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

How good are portfolio insurance strategies?

Balder, Sven; Mahayni, Antje - In: Alternative investments and strategies : credit, …, (pp. 227-257). 2010

Persistent link: https://www.econbiz.de/10008655201

Cash-lock comparison of portfolio insurance strategies

Balder, Sven; Mahayni, Antje - 2010

Persistent link: https://www.econbiz.de/10008656673

Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung : über den separaten Ausweis von Margen- und Kursschäden

Balder, Sven; Gramatke, Christoph; Mahayni, Antje - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 66 (2014) 1, pp. 3-36

Persistent link: https://www.econbiz.de/10010254764

Performance evaluation of optimized portfolio insurance strategies

Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225

Persistent link: https://www.econbiz.de/10010410003

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/10008162048

Effectiveness of CPPI strategies under discrete-time trading

Balder, Sven; Brandl, Michael; Mahayni, Antje - In: Journal of economic dynamics & control 33 (2009) 1, pp. 204-221

Persistent link: https://www.econbiz.de/10008890132

Performance evaluation of optimized portfolio insurance strategies

Zieling, Daniel; Mahayni, Antje; Balder, Sven - 2012

Persistent link: https://www.econbiz.de/10013441225

Effectiveness of CPPI strategies under discrete-time trading

Balder, Sven; Brandl, Michael; Mahayni, Antje - In: Journal of Economic Dynamics and Control 33 (2009) 1, pp. 204-220

The paper analyzes the effectiveness of the constant proportion portfolio insurance (CPPI) method under trading restrictions. If the CPPI method is applied in continuous time, the CPPI strategies provide a value above a floor level unless the price dynamics of the risky asset permit jumps. The...

Persistent link: https://www.econbiz.de/10005107029

Performance evaluation of optimized portfolio insurance strategies

Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of Banking & Finance 43 (2014) C, pp. 212-225

We use S&P 500 index return data for the time period 1985–2013 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier...

Persistent link: https://www.econbiz.de/10010777132