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  • Search: subject:"optimal payoff"
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Year of publication
Subject
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Portfolio insurance 2 average price Asian options 2 constant proportion portfolio insurance 2 life cycle portfolio choice 2 optimal payoff profile 2 power options 2 utility theory 2 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Pézier, Jacques 2 Scheller, Johanna 2
Institution
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Henley Business School, University of Reading 1
Published in...
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Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 ICMA Centre Discussion Papers in Finance 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Average Portfolio Insurance Strategies
Pézier, Jacques; Scheller, Johanna - Henley Business School, University of Reading - 2012
We design average portfolio insurance (API) strategies with an investment floor and a buffer that is a power of a geometric average of the underlying asset price. We prove that API strategies are optimal for investors with hyperbolic absolute risk aversion who become progressively more risk...
Persistent link: https://www.econbiz.de/10010838044
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Cover Image
Average portfolio insurance strategies
Pézier, Jacques; Scheller, Johanna - 2012
Persistent link: https://www.econbiz.de/10009520561
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