Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation

By Riccardo Cesari, D. Cremonini. 2003

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Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (2005, unknown): “The r.v. S defined in ( 1 ) will in general be a sum of non-independent lognormal r.v.’s.”
Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “In order to verify whether this theoretical setup can be approximately compared with the data generating mechanism of real situations, we refer to Cesari & Cremonini (2003).”
Effectiveness of CPPI Strategies under Discrete-Time Trading (2009, unknown): “4For example, Cesari and Cremonini (2003) give an extensive simulation comparison of popular dynamic strategies of asset allocation, including CPPI strategies.”
Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008, background): “Empirical studies that support this theoretical setup can be found in Cesari & Cremonini (2003), Levy (2004) and McNeil et al. (2005).”