Dynamic portfolio insurance strategies: risk management under Johnson distributions
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DOI: 10.1007/s10479-016-2121-8
Abstract: The purpose of this paper is to analyze the gap risk of dynamic portfolio insurance strategies which generalize the “Constant Proportion Portfolio Insurance” (CPPI) method by allowing the multiple to vary. We illustrate our theoretical… read more here.
Keywords: insurance strategies; portfolio; dynamic portfolio; johnson distributions ... See more keywords