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ANOR
2011
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ANOR 2011
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Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI
14 years 10 months ago
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www.risklab.de
Abstract The purpose of this article is to analyze and compare two standard portfolio insurance methods: Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio I...
Rudi Zagst, Julia Kraus
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