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Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China

  • Published:2015-09 Issue:3 Volume:39 Page:413-422
  • ISSN:0939-3625
  • Container-title:Economic Systems
  • language:en
  • Short-container-title:Economic Systems

Author:

Zhang Tao,Zhou Hongfeng,Li LarryORCID,Gu Feng

Funder

Soft Science Research of Shandong Province

Fundamental Research Fund for the Central Universities, China

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference23 articles.

1. Portfolio insurance: gap risk under conditional multiples;Ameur;Eur. J. Oper. Res.,2013

2. Performance evaluation of portfolio insurance strategies using stochastic dominance criteria;Annaert;J. Bank. Finance,2009

3. Tracking error: a multistage portfolio model;Barro;Ann. Oper. Res.,2009

4. Omega performance measure and portfolio insurance;Bertrand;J. Bank. Finance,2011

5. Portfolio insurance: a simulation under different market conditions;Bird;Insur.: Math. Econ.,1990

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2. MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY;International Journal of Theoretical and Applied Finance;2020-03

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4. INVESTAVIMO STRATEGIJŲ PASIRINKIMO GALIMYBIŲ ANALIZĖ IR JŲ KLASIFIKAVIMAS AKCIJŲ RINKOJE;Proceedings of the 20th Conference for Junior Researchers „Business in XXI Century“;2017-02-09
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