" Financial Derivatives"-Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses
umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema …

This paper evaluates the performance of the stop-loss, synthetic put and constant proportion
portfolio insurance techniques based on a block-bootstrap simulation. We consider not only …

Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an …

In this study, we perform a comparative analysis of portfolio insurance strategies for the
cryptocurrency market. We examine performance evaluation regarding the various …

Building an investment portfolio is a problem that numerous researchers have addressed for
many years. The key goal has always been to balance risk and reward by optimally …

In the past decade, both practitioners in the insurance industry and theoreticians have
shown a renewed interest in Asset-Liability Management, most of this attention resulting …

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many
topics of modern investment analysis. It provides a balanced presentation of theories …

Constant proportion portfolio insurance (CPPI) strategies implemented in continuous time on
asset prices following geometric Brownian processes are expected utility maximising for …

This study presents a systematic comparison of portfolio insurance strategies. We implement
a bootstrap-based hypothesis test to assess statistical significance of the differences in a …