The payoff distribution model: an application to dynamic portfolio insurance-Reference-Cited by-同舟云学术

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The payoff distribution model: an application to dynamic portfolio insurance

Published:2012-03-29 Issue:2 Volume:15 Page:299-312
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Hocquard Alexandre¹,Papageorgiou Nicolas¹²,Remillard Bruno³

Affiliation:

1. Pavilion Asset Management, 1250 René Lesvesque blvd, Montreal, Québec, Canada H3B 4W8

2. Department of Finance, HEC Montreal, 3000 Cote Ste Catherine, Montreal, Québec, Canada H3T 2A7

3. Department of Management Science, HEC Montreal, 3000 Cote Ste Catherine, Montreal, Québec, Canada H3T 2A7

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.661872

Reference19 articles.

1. Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value?

2. Performance evaluation of portfolio insurance strategies using stochastic dominance criteria

3. Simplifying portfolio insurance

4. Theory of constant proportion portfolio insurance

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2. Investors’ perspective on portfolio insurance;Portuguese Economic Journal;2021-08-18

3. Volatility Targeting for U.S. Equity REITs: A Strategy for Minimizing Extreme Downside Risk?;Journal of Real Estate Portfolio Management;2021-01-02

4. Assessing the effectiveness of local and global quadratic hedging under GARCH models;Quantitative Finance;2017-03-21

5. The value of stop-loss, stop-gain strategies in dynamic asset allocation;Journal of Asset Management;2016-08-02

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