Slidevar: A New Risk Measure for Dynamic Portfolio Insurance Strategies

2021 ◽  
Author(s):  
Ze Chen ◽  
Cuixia Chen ◽  
Yufeng Shi ◽  
Wentao Hu
Keyword(s):  
Risk Measure ◽  
Portfolio Insurance ◽  
Dynamic Portfolio

Do futures-based strategies enhance dynamic portfolio insurance?

2004 ◽  
Vol 24 (6) ◽  
pp. 591-608 ◽  
Author(s):  
Binh Huu Do ◽  
Robert W. Faff
Keyword(s):  
Portfolio Insurance ◽  
Dynamic Portfolio

The payoff distribution model: an application to dynamic portfolio insurance

2012 ◽  
Vol 15 (2) ◽  
pp. 299-312 ◽  
Author(s):  
Alexandre Hocquard ◽  
Nicolas Papageorgiou ◽  
Bruno Remillard
Keyword(s):  
Distribution Model ◽  
Portfolio Insurance ◽  
Payoff Distribution ◽  
Dynamic Portfolio

OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION

2006 ◽  
Vol 09 (06) ◽  
pp. 951-966 ◽  
Author(s):  
ZHONG-FEI LI ◽  
KAI W. NG ◽  
KEN SENG TAN ◽  
HAILIANG YANG
Keyword(s):  
Risk Measure ◽  
Efficient Frontier ◽  
Investment Strategy ◽  
Investment Strategies ◽  
Variance Model ◽  
Optimal Constant ◽  
Black Scholes ◽  
Dynamic Portfolio ◽  
Portfolio Optimization Problem ◽  
Mean Variance

In this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier.

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