Recent empirical studies have found ex post common stock returns to be consistently
positively skewed. The frequency of positive skewness in this study is found to be relatively …

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This paper evaluates the performance of the stop-loss, synthetic put and constant proportion
portfolio insurance techniques based on a block-bootstrap simulation. We consider not only …

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many
topics of modern investment analysis. It provides a balanced presentation of theories …

Abstract Empirical research on Lower Partial Moment (LPM) has ignored its portfolio
algorithms and the major benefit of such analysis: that its utility function is as general as the …

Like any other form of insurance, portfolio insurance is designed to eliminate downside risk.
It is equivalent to a portfolio of securities plus an insurance policy that guarantees the …

Die nationalen und intemationalen Kapitalmarkte sind in den letzten zwei Jahr zehnten von
einer deutlich erhohten Zinsvolatilitiit betroffen. Ais Reaktion auf die damit verbundene …

Mean-variance analysis has been broadly used in the theory and practice of portfolio
management. However, the continuous analogy is not fully studied either academically or in …

This dissertation determines how well the Rubinstein-Leland (1981) synthetic option
strategy replicates listed call options and theoretical Black-Scholes (BS) call premiums …

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