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  • Search: subject:"CPPI"
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Year of publication
Subject
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CPPI 50 Portfolio-Management 23 Portfolio selection 22 Theorie 16 Theory 16 Portfolio insurance 15 Altersvorsorge 11 Deutschland 9 Garantiefonds 9 Hedging 8 Asset-Melt-down 7 Sparpläne 7 Dynamic Hedging 6 OBPI 6 Portfolio Insurance 6 Rendite 6 Risiko 6 Risikomanagement 6 Risk 6 Risk management 6 Simulation 6 VaR 6 Germany 5 Stochastic process 5 portfolio insurance 5 Expected shortfall 4 Expectile 4 Private Altersvorsorge 4 Private retirement provision 4 Stochastischer Prozess 4 Zinsstruktur 4 CAViaR 3 CPPI strategy 3 Investmentfonds 3 Private Rentenversicherung 3 Quantile Regression 3 Risikomaß 3 Risk measure 3 Schätzung 3 Variable Annuities 3
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Online availability
All
Free 28 Undetermined 25
Type of publication
All
Article 33 Book / Working Paper 27
Type of publication (narrower categories)
All
Article in journal 21 Aufsatz in Zeitschrift 21 Working Paper 7 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1 research-article 1
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Language
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English 29 Undetermined 20 German 10 French 1
Author
All
Prigent, Jean-Luc 11 Wystup, Uwe 11 Hamidi, Benjamin 8 Maillet, Bertrand 8 Weber, Andreas 8 Becker, Christoph 3 Cadle, John 2 Chakrabarty, Anindya 2 Detering, Nils 2 Dubey, Rameshwar 2 Ho, Lan-chih 2 Hohmann, Ralf 2 Jiang, Shan 2 Jurczenko, Emmanuel 2 Luo, Zongwei 2 Schied, Alexander 2 Sekine, Jun 2 Theobald, Michael 2 Zagst, Rudi 2 Ameur, H. Ben 1 An, Yunbi 1 Ben Ameur, H. 1 Ben-Ameur, Hatem 1 Bhattacharya, Sukanto 1 Biedova, Olga 1 Buccioli, Alice 1 Chen, Bingzheng 1 Chen, Ze 1 Cont, Rama 1 Dersch, Dominik 1 Dupret, Jean-Loup 1 Escobar, Marcos 1 Fulli-Lemaire, Nicolas 1 Gaspar, Raquel M. 1 Gu, Feng 1 Gulveren, Anil 1 HAMIDI, Benjamin 1 Hainaut, Donatien 1 Hayashi, Tadashi 1 Hu, Yi 1
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Institution
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Frankfurt School of Finance and Management 4 HAL 4 Institut de Préparation à l'Administration et à la Gestion (IPAG) 4 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 1 Springer Fachmedien Wiesbaden 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
All
CPQF Working Paper Series 8 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 4 International journal of theoretical and applied finance 3 Working paper series / Centre for Practical Quantitative Finance 3 Documents de travail du Centre d'Economie de la Sorbonne 2 European journal of operational research : EJOR 2 Finance research letters 2 Journal of Economic Dynamics and Control 2 Journal of economic dynamics & control 2 MPRA Paper 2 Post-Print / HAL 2 Working Papers / HAL 2 essentials 2 Alternative investments and strategies : credit, derivatives, CPPI, investments, risk 1 Applied Mathematical Finance 1 Asia-Pacific Financial Markets 1 Business Process Management Journal 1 Business process management journal 1 Economic systems 1 European Journal of Operational Research 1 European financial management : the journal of the European Financial Management Association 1 Finance and Stochastics 1 International Review of Financial Analysis 1 International journal of financial engineering and risk management 1 Journal of mathematical finance 1 Journal of pension economics and finance : JPEF 1 Journal of risk management in financial institutions 1 Quantitative finance 1 Review of Quantitative Finance and Accounting 1 Review of quantitative finance and accounting 1 Risks 1 Risks : open access journal 1 SpringerLink / Bücher 1 The journal of investment strategies 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1 Working Papers / Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 1 World Scientific Books 1
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Source
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ECONIS (ZBW) 27 RePEc 26 EconStor 5 BASE 1 Other ZBW resources 1
Showing 1 - 10 of 60
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Cushion option on CPPI strategy for defined-contribution pension plans
Gulveren, Anil; Temocin, Busra Zeynep; Selcuk-Kestel, … - In: Journal of pension economics and finance : JPEF 24 (2025) 4, pp. 501-515
Persistent link: https://www.econbiz.de/10015550203
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Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Finance research letters 59 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
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Design risk : the curse of constant proportion portfolio insurance
Gaspar, Raquel M.; Sousa, João Beleza - In: The journal of investment strategies 12 (2023) 4, pp. 45-74
Persistent link: https://www.econbiz.de/10015446450
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Hedge inflation risk of specific purpose guarantee funds
Chen, Ze; Chen, Bingzheng; Hu, Yi; Zhang, Hai - In: European financial management : the journal of the … 28 (2022) 4, pp. 1104-1136
Persistent link: https://www.econbiz.de/10013415745
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Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup; Hainaut, Donatien - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
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An optimal Turkish private pension plan with a guarantee feature
İşcanoğlu Çekiç, Ayşegül - In: Risks : open access journal 4 (2016) 3, pp. 1-12
with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula …
Persistent link: https://www.econbiz.de/10011507764
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An optimal Turkish private pension plan with a guarantee feature
İşcanog̃lu-Çekiç, Ayşegül - In: Risks 4 (2016) 3, pp. 1-12
with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula …
Persistent link: https://www.econbiz.de/10011709567
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Multiplier optimization for constant proportion portfolio insurance (cppi) strategy
Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
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A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2014
"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance …-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics … properties of the CPPI strategy, including the time-invariant portfolio protection (TIPP) strategy, as introduced by Estep and …
Persistent link: https://www.econbiz.de/10010899414
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Constant Proportion Portfolio Insurance Effectiveness with Transaction Costs
Mkaouar, Farid; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014
In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading …
Persistent link: https://www.econbiz.de/10010891042
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