Search Results - subject:"Protective put"

Options, put-call parities, and option strategies : theory and empirical results

Lee, Cheng F.; Yeh, Wen-Chi - 2024

Persistent link: https://www.econbiz.de/10015050151

Constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang Karl - 2019

This paper provides a detailed framework for modeling portfolios, achieving the highest growth rate under subjective risk constraints such as Value at Risk (VaR) in the presence of stable laws. Although the maximization of the expected logarithm of wealth induces outperforming any other...

Persistent link: https://www.econbiz.de/10012433218

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Can a path-dependent strategy outperform a path-independent strategy?

Lee, Huai-I; Hsieh, Tsung-Yu; Kuo, Wen-Hsiu; Hsu, Hsinan - In: The quarterly review of economics and finance : journal … 58 (2015), pp. 119-127

Persistent link: https://www.econbiz.de/10011574209

Wertsicherungsstrategien für das Asset Management

Kluß, Norbert; Bayer, Marcus; Cremers, Heinz - 2005

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio by progressively selling stocks and buy safe, short-term debt securities as stock prices fall. This paper analyzes the current static and dynamic methods in use and explains their pros and cons.

Persistent link: https://www.econbiz.de/10010298898

Wertsicherungsstrategien für das Asset Management

Kluß, Norbert; Bayer, Marcus; Cremers, Heinz - Frankfurt School of Finance and Management - 2005

Persistent link: https://www.econbiz.de/10005026998

Portfolio choice with puts : evidence from variable annuities

Milevsky, Moshe Arye; Kyrychenko, Vladyslav - In: Financial analysts' journal : FAJ 64 (2008) 3, pp. 80-95

Persistent link: https://www.econbiz.de/10003730043

A synthetic protective put strategy for phased investment in projects without an outright deferral.

Bhattacharya, Sukanto - EconWPA - 2005

In this paper we propose and computationally demonstrate a synthetic protective put strategy for real options … the project, we set up the replicating portfolio for a protective put on the project. Our method is a logical extension of … the financial protective put in the real options scenario and is rather simple and practicable for businesses to adopt and …

Persistent link: https://www.econbiz.de/10005413220