Do futures-based strategies enhance dynamic portfolio insurance?

Journal of Futures Markets ◽

10.1002/fut.10125 ◽

2004 ◽

Vol 24 (6) ◽

pp. 591-608 ◽

Cited By ~ 24

Author(s):

Binh Huu Do ◽

Robert W. Faff

Keyword(s):

Portfolio Insurance ◽

Dynamic Portfolio

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Dynamic Portfolio Insurance Strategy and Its Empirical Research in Chinese Futures Market

2009 First International Conference on Information Science and Engineering ◽

10.1109/icise.2009.522 ◽

2009 ◽

Author(s):

Zhaohui Liang ◽

Fasheng Li ◽

Yajuan Guo

Keyword(s):

Empirical Research ◽

Futures Market ◽

Portfolio Insurance ◽

Dynamic Portfolio

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Dynamic portfolio insurance strategies: risk management under Johnson distributions

Annals of Operations Research ◽

10.1007/s10479-016-2121-8 ◽

2016 ◽

Vol 262 (2) ◽

pp. 605-629

Author(s):

Naceur Naguez

Keyword(s):

Risk Management ◽

Portfolio Insurance ◽

Dynamic Portfolio

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Risk management of time varying floors for dynamic portfolio insurance

European Journal of Operational Research ◽

10.1016/j.ejor.2018.01.041 ◽

2018 ◽

Vol 269 (1) ◽

pp. 363-381 ◽

Cited By ~ 1

Author(s):

H. Ben Ameur ◽

J.-L. Prigent

Keyword(s):

Risk Management ◽

Time Varying ◽

Portfolio Insurance ◽

Dynamic Portfolio

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DYNAMIC PORTFOLIO INSURANCE WITHOUT OPTIONS

Alternative Investments and Strategies ◽

10.1142/9789814280112_0009 ◽

2010 ◽

pp. 201-225 ◽

Cited By ~ 2

Author(s):

DOMINIK DERSCH

Keyword(s):

Portfolio Insurance ◽

Dynamic Portfolio

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The payoff distribution model: an application to dynamic portfolio insurance

Quantitative Finance ◽

10.1080/14697688.2012.661872 ◽

2012 ◽

Vol 15 (2) ◽

pp. 299-312 ◽

Cited By ~ 4

Author(s):

Alexandre Hocquard ◽

Nicolas Papageorgiou ◽

Bruno Remillard

Keyword(s):

Distribution Model ◽

Portfolio Insurance ◽

Payoff Distribution ◽

Dynamic Portfolio

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The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance

SSRN Electronic Journal ◽

10.2139/ssrn.1729779 ◽

2009 ◽

Author(s):

Alexandre Hocquard ◽

Nicolas A. Papageorgiou ◽

Bruno Remillard

Keyword(s):

Distribution Model ◽

Portfolio Insurance ◽

Payoff Distribution ◽

Dynamic Portfolio

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Optimization of Dynamic Portfolio Insurance Model

Journal of Mathematical Finance ◽

10.4236/jmf.2012.22019 ◽

2012 ◽

Vol 02 (02) ◽

pp. 181-188

Author(s):

Yuan Yao

Keyword(s):

Portfolio Insurance ◽

Dynamic Portfolio ◽

Insurance Model

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Slidevar: A New Risk Measure for Dynamic Portfolio Insurance Strategies

SSRN Electronic Journal ◽

10.2139/ssrn.3949060 ◽

2021 ◽

Author(s):

Ze Chen ◽

Cuixia Chen ◽

Yufeng Shi ◽

Wentao Hu

Keyword(s):

Risk Measure ◽

Portfolio Insurance ◽

Dynamic Portfolio

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Rebalancing Return and Hedge Effectiveness of Dynamic Portfolio Insurance Strategies: A simulation Based Study

10.7176/rjfa/10-20-01 ◽

2019 ◽

Keyword(s):

Portfolio Insurance ◽

Simulation Based ◽

Dynamic Portfolio

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Relative performance of dynamic portfolio insurance strategies: Australian evidence

Accounting and Finance ◽

10.1111/1467-629x.00078 ◽

2002 ◽

Vol 42 (3) ◽

pp. 279-296 ◽

Cited By ~ 29

Author(s):

Binh Huu Do

Keyword(s):

Relative Performance ◽

Portfolio Insurance ◽

Dynamic Portfolio

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