Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage

Cathrine Jessen

Publikation: KonferencebidragPaperForskningpeer review

OriginalsprogEngelsk
Publikationsdato8 dec. 2010
Antal sider24
StatusUdgivet - 8 dec. 2010
BegivenhedThe 23rd Australasian Finance and Banking Conference 2010 - Sydney, Australien
Varighed: 15 dec. 201017 dec. 2010
Konferencens nummer: 23

Konference

KonferenceThe 23rd Australasian Finance and Banking Conference 2010
Nummer23
LandAustralien
BySydney
Periode15/12/201017/12/2010

Emneord

  • CPPI
  • Gap risk
  • Discrete portfolio rebalancing
  • Sortino ratio
  • Expected utility maximization

Citationsformater