Performance evaluation of optimized portfolio insurance strategies
Daniel Zieling; Antje Mahayni; Sven Balder
| Year of publication: |
2014
|
|---|---|
| Authors: | Zieling, Daniel ; Mahayni, Antje ; Balder, Sven |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 43.2014, p. 212-225
|
| Subject: | Portfolio insurance | Performance evaluation | S&P 500 | Regime switching EGARCH-M model | Transaction costs | Trigger trading | Gap risk | Portfolio-Management | Portfolio selection | Transaktionskosten | Theorie | Theory | Performance-Messung | Performance measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010410003