Portfolio insurance strategies are used on both the institutional and the retail side of the
asset management industry. While standard utility theory struggles to provide an …

In this study, we perform a comparative analysis of portfolio insurance strategies for the
cryptocurrency market. We examine performance evaluation regarding the various …

Over the last years, extreme volatility levels are observed in global equity markets. Studying
the recent market crashes in detail (eg the market crashes of 2002 and 2008), one notices …

This study presents a systematic comparison of portfolio insurance strategies. We implement
a bootstrap-based hypothesis test to assess statistical significance of the differences in a …

The automatic balancing mechanism introduced in 2004 aims to re-establish the financial
equilibrium of the Japanese public pension systems. The non-linear functions for benefits …

The importance of funded private or occupational old age provision will increase due to
demographic changes and the resulting challenges for government-run pay-as-you-go …

This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is
to determine the risk multiplier by maximizing the extended Omega ratio of the investor's …

Constant proportion portfolio insurance (CPPI) strategy is a very popular investment solution
which provides an investor with a capital protection as well as allows for an equity market …

The constant proportion portfolio insurance (CPPI) strategy is frequently used on both the
institutional and the retail sides of the asset management industry. While standard finance …

In traditional portfolio theory, risk management is limited to the choice of the relative weights
of the riskless asset and a diversified basket of risky securities, respectively. Yet in industry …