On the Stochastic Dominance of Portfolio Insurance Strategies
نویسندگان
چکیده
منابع مشابه
On the Stochastic Dominance of Portfolio Insurance Strategies
This paper compares the performance of the two main portfolio insurance strategies, namely the Option-Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). For this purpose, we use the stochastic dominance approach. We provide several explicit sufficient conditions to get stochastic dominance results. When taking account of specific constraints, we use the con...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2016
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2016.61002