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
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
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DOI: 10.1016/j.insmatheco.2018.12.005
Abstract: Abstract In this paper we investigate an optimal investment problem under short-selling and portfolio insurance constraints faced by a defined contribution pension fund manager who is loss averse. The financial market consists of a cash… read more here.
Keywords: short selling; optimal investment; insurance; portfolio insurance ... See more keywords
PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND
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DOI: 10.1017/asb.2020.24
Abstract: The transition from defined benefit to defined contribution (DC) pension schemes has increased the interest in target annuitization funds that aim to fund a minimum level of retirement income. Prior literature has studied the optimal… read more here.
Keywords: retirement; insurance strategies; portfolio; fund ... See more keywords
Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies
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DOI: 10.3390/risks11060105
Abstract: In this paper, we propose a comparison among three portfolio insurance strategies, namely the constant proportion portfolio insurance, the time-invariant portfolio protection, and the exponential proportion portfolio insurance, via an in-depth performance analysis. We aim… read more here.
Keywords: insurance strategies; performance analysis; portfolio; portfolio insurance ... See more keywords