Theory of constant proportion portfolio insurance-Reference-Cited by-同舟云学术

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Theory of constant proportion portfolio insurance

Published:1992-07 Issue:3-4 Volume:16 Page:403-426
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Black Fischer,Perold AndréF.

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference10 articles.

1. Simplifying portfolio insurance for corporate pension plans;Black,;Journal of Portfolio Management,1988

2. Simplifying portfolio insurance;Black,;Journal of Portfolio Management,1987

3. Brownian motion and stochastic flow systems;Harrison,1985

4. Optimum consumption and portfolio rules in a continuous time model;Merton;Journal of Economic Theory,1971

5. Continuous-time finance;Merton,1990

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