ECONIS Select Business Administration – Portfolio Insurance

03/2009

Literature selected from our database ECONIS:

• Paper: Performance evaluation of portfolio insurance strategies using stochastic dominance criteria / Jan Annaert; Sofieke Van Osselaer; Bert Verstraete
  In: Journal of banking & finance . - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Bd. 33.2009, 2, S. 272-280
  Keywords: Portfolio-Management / Portfolio-Insurance / Performance Measurement
• Paper: Alpha insurance : a computational framework to measure hedging demands for active investors / Ashraf El-Ansary
  In: The journal of asset management . - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717X. - Bd. 9.2008/09, 5, S. 310-320
  Keywords: Portfolio-Insurance / Optionsgeschäft / Mathematische Optimierung
• Paper: On the fundamental law of active portfolio management : what happens if our estimates are wrong? / Guofu Zhou
  In: The journal of portfolio management . - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Bd. 34.2007/08, 4, S. 26-33
  Keywords: Portfolio-Management / Portfolio-Insurance / Prognoseverfahren
• Paper: A new choice of dynamic asset management : the variable proportion portfolio insurance / Huai-I. Lee, Min-Hsien Chiang and Hsinan Hsu
  In: Applied economics . - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 2801760. - Bd. 40.2008, 16/18, S. 2135-2146
  Keywords: Portfolio-Insurance / Portfolio-Management
• Paper: Portfolio choice with puts : evidence from variable annuities / Moshe A. Milevsky and Vladyslav Kyrychenko
  In: Financial analysts journal . - Charlottesville, Va. : Association for Investment Management and Research, ISSN 0015-198X, ZDB-ID 2194090. - Bd. 64.2008, 3, S. 80-95
  Keywords: Portfolio-Management / Risikopräferenz / Portfolio-Insurance / Optionsgeschäft / Protective Put
• Paper: Recent developments in portfolio insurance / by Darren Pain and Jonathan Rand
  In: Bank of England : Quarterly bulletin // Bank of England . - London : Bank of England Publ. Group, ISSN 0005-5166, ZDB-ID 7152346. - Bd. 48.2008, 1, S. 37-46
  Portfolio-Insurance
• Paper: Amplification and asymmetry in crashes and frenzies / Han N. Ozsoylev
  In: Annals of finance . - Berlin; Heidelberg : Springer, ISSN 1614-2446, ZDB-ID 2174824X. - Bd. 4.2008, 2, S. 157-181
  Keywords: Portfolio-Insurance / Börsenkurs / Volatilität / Aktienmarkt / USA
• Title: Portfolio insurance - CPPI im Vergleich zu anderen Strategien / von Roger Uhlmann
  Year: Bern [u.a.] : Haupt, 2008
  Series: Bank- und finanzwirtschaftliche Forschungen ; 386 Hochschulschrift: Zugl.: Basel, Univ., Diss., 2007
  Keywords: Portfolio-Insurance / Zins / Volatilität / Zinsstruktur / Theorie / Aktienmarkt / Europa / 1998-2006
  Link: Table of contents
  Signature: B 355992
• Title: Performance evaluation of portfolio insurance strategies using stochastic dominance criteria / Jan Annaert; Sofieke Van Osselaer; Bert Verstraete
  Year: July 2007
  Anbieter: Gent : Faculteit Economie en Bedrijfskunde, Univ. Gent
  Series: Working paper / Universiteit Gent, Faculteit Economie en Bedrijfskunde ; 473
  Keywords: Portfolio-Management / Portfolio-Insurance / Performance Measurement
  Signature: W 1480 (473)
• Paper: Portfolio insurance and volatility regime switching / Joel M. Vanden
  In: Mathematical finance . - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 10731945. - Bd. 16.2006, 2, S. 387-417
  Keywords: Portfolio-Management / Volatilität / Theorie
• Paper: Constant Proportion Portfolio Insurance : Optimierung der Strategieparameter / Thomas Zimmerer; Harald Meyer
  In: Finanz-Betrieb . - Düsseldorf : Handelsblatt, ISSN 1437-8981, ZDB-ID 14743012. - Bd. 8.2006, 3, S. 163-171
  Keywords: Portfolio-Insurance / |stw| Portfolio-Management / |stw| Rendite / |stw| Aktienindex / |stw| Monte-Carlo-Methode / |stw| Deutschland / 1985-2004
• Paper: Constant Proportion Portfolio Insurance : Wertsicherungs- oder Absolute Return-Konzept? / Thomas Zimmerer
  In: Finanz-Betrieb . - Düsseldorf : Handelsblatt, ISSN 1437-8981, ZDB-ID 14743012. - Bd. 8.2006, 2, S. 97-106
  Keywords: Portfolio-Insurance / |stw| Portfolio-Management / |stw| Rendite
• Paper: Portfolio insurance strategies : OBPI versus CPPI / Philippe Bertrand, Jean-Luc Prigent
  In: Finance . - Paris : Presses Universitaires de France, ISSN 0752-6180, ZDB-ID 6147963. - Bd. 26.2005, 1, S. 5-32
  Keywords: Portfolio-Insurance / |stw| Theorie
• Title: Dynamische Portfolio Insurance-Strategien ohne Derivate im Rahmen der privaten Vermögensverwaltung : eine theoretische und empirische Analyse / Frieder Meyer-Bullerdiek; Michael Schulz
  Year: Frankfurt am Main [u.a.] : Lang, 2004
  Series: Bank- und Finanzwirtschaft ; 3
  Keywords: Portfolio-Insurance / |stw| Strategie / |stw| Vermögensverwaltung / |stw| Rendite / |stw| Vergleich / |stw| Schätzung / |stw| Theorie / |stw| Deutschland
  Link: Table of contents
  Signature: A06-3133
• Paper: Portfolio insurance strategies : a comparison of standard methods when the volatility of the stock is stochastic / Philippe Bertrand and Jean-luc Prigent
  In: International journal of business . - Fresno, Calif. : Premier Publ., ISSN 1083-4346, ZDB-ID 13151149. - Bd. 8.2003, 4, S. 461-472
• Title: Derivatives and the asset allocation decision : a synthesis between portfolio diversification and portfolio insurance / vorgelegt von Andrea Laurent
  Year: 2003
  Keywords: Finanzderivat / |stw|Portfolio-Management / |stw| Portfolio-Insurance
  Link: Table of contents
  Signature: A03-2866
• Paper: Portfolio insurance and model uncertainty / Bernhard Nietert
  In: OR spectrum . - Berlin : Springer, ISSN 0171-6468, ZDB-ID 20738857. - Bd. 25.2003, 3, S. 295-316
  Keywords: Portfolio-Insurance / |stw| Portfolio-Management / |stw| Theorie
• Paper: Portfolio insurance : the extreme value approach to the CPPI method / P. Bertrand and J.-L. Prigent
  In: Finance . - Paris : Presses Universitaires de France, ISSN 0752-6180, ZDB-ID 6147963. - Bd. 23.2002, 2, S. 69-86
  Keywords: Portfolio-Insurance / |stw| Theorie
• Title: Marktwertorientierte Portfolio Insurance für verzinsliche Wertpapiere / Andree Marc Engelmann
  Year: Lohmar [u.a.] : Eul, 2002
  Signature: A03-1519
• Paper: A comparative study of portfolio insurance / Suleyman Basak
  In: Journal of economic dynamics & control . - Amsterdam : North-Holland Publ. Co., ISSN 0165-1889, ZDB-ID 7174093. - Bd. 26.2002, 7/8, S. 1217-1241
  Keywords: Portfolio-Insurance / |stw| Theorie
• Title: A comparative study of portfolio insurance / Suleyman Ba¸sak
  Institution: Institute of Finance and Accounting
  Year: May 2001
  Anbieter: London : Inst. of Finance and Accounting
  Series: IFA working paper ; 344
  Keywords: Portfolio-Insurance / |stw| Theorie
  Signature: W 1457 (344)
• Paper: Portfolio insurance trading rules / Richard Bookstaber; Joseph A. Langsam
  In: The journal of futures markets . - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Bd. 20.2000, 1, S. 41-57
  Keywords: Portfolio-Insurance / |stw| Theorie
• Paper: Portfolio insurance strategies when hedging affects share prices / Pradipkumar Ramanlal ; Steven V. Mann
  In: Journal of financial services research . - Dordrecht [u.a.] : Springer Science + Business Media Inc., ISSN 0920-8550, ZDB-ID 10271363. - 1998,February = Vol. 13, Nr. 1, S. 23-35
  Keywords: Portfolio-Insurance / |stw| Hedging / |stw| Börsenkurs / |stw| Aktienoption / |stw| Theorie
• Title: Dynamic portfolio insurance : a stochastic programming approach / Roy Kouwenberg
  Year: Rotterdam, 1998
  Series: Report : Erasmus Center for Financial Research, Erasmus University ; 9813
  Keywords: Portfolio-Insurance / |stw| Theorie
  Signature: W 662 (9813)
• Paper: Equilibrium analysis of portfolio insurance / Sanford J. Grossman and Zhongquan Zhou
  In: The journal of finance . - Malden, Mass. [u.a.] : Blackwell, ISSN 0022-1082, ZDB-ID 2181915. - 51 (1996),4, S. 1379-1403
  Keywords: Kapitalanlage / |stw| Risiko / |stw| Nutzenfunktion / |stw| Volatilität / |stw| Börsenkurs / |stw| Theorie