Optimal static allocation decisions in the presence of portfolio insurance

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Goltz, Felix; Martellini, Lionel; Şimşek, Koray Deniz; Simsek, Koray Deniz;
  • Publisher: Journal of Investment Management
  • Subject: HG Finance | HG176.6 Financial engineering

The focus of this paper is to determine what fraction a myopic risk-averse investor should allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and equity risk premium. Our co... View more
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