A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness-Reference-Cited by-同舟云学术

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A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness

Published:2023-06 Issue: Volume:89 Page:269-276
ISSN:1062-9769
Container-title:The Quarterly Review of Economics and Finance
language:en
Short-container-title:The Quarterly Review of Economics and Finance

Author:

Lu Richard^ORCID,Horng Tzyy-Leng,Horng Min-Sun^ORCID,Wang Amy Z.-H.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Performance evaluation of portfolio insurance strategies using stochastic dominance criteria;Annaert;Journal of Banking and Finance,2009

2. An economic index of riskiness;Aumann;Journal of Political Economy,2008

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

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Optimal portfolio insurance;Brennan;Journal of Financial and Quantitative Analysis,1981

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