Effectiveness of CPPI Strategies under Discrete-Time Trading-Reference-Cited by-同舟云学术

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Effectiveness of CPPI Strategies under Discrete-Time Trading

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Balder Sven,Brandl Michael,Mahayni Antje Brigitte

Publisher

Elsevier BV

Reference45 articles.

1. Coherent measures of risk;P Artzner;Mathematical Finance,1999

2. Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities;M Avellaneda;Applied Mathematical Finance,1995

3. Dynamic Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs;M Avellaneda;Applied Mathematical Finance,1994

4. A General Equilibrium Model of Portfolio Insurance;S Basak;Review of Financial Studies,1995

5. A Comparative Study of Portfolio Insurance;S Basak;The Journal of Economic Dynamics and Control,2002

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The price of liquidity in constant leverage strategies;Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas;2009-09

2. Efficient Pricing of CPPI Using Markov Operators;SSRN Electronic Journal;2009

3. One-Dimensional Pricing of CPPI;SSRN Electronic Journal;2009

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