Work

Portfolio insurers and constant weight traders: who will survive?

Year: 2021

Type: article

Abstract: Both portfolio insurers and constant weight traders investment strategies survive for low expected log returns of risky assets and dominate on different paths for high expected log returns

Source: Quantitative Finance

DOI: 10.1080/14697688.2021.1987506

Authors: Emilio Barucci, Pietro Dindo, Francesca Grassetti

Institutions: Politecnico di Milano, Ca' Foscari University of Venice

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4200375304

FWCI: 0.2

Cites: 22

Cited by: 1

Related to: 10