Optimal portfolio management with American capital guarantee
By Nicole El Karoui, Monique Jeanblanc, Vincent Lacoste. 2005
139 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/941c57748e04133deeaa2b9a740a83b9a5f83325
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Citations in the corpus
- Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, methodology): “We remark that the discrete time process η̃ is an analogue of the value process of unconstrained allocation from El Karoui et al. (2005), where the authors suggest applying utility maximization to determine the target return η̃, see El Karoui et al.”
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009, unknown): “Option based portfolio insurance (El Karoui, Jeanblanc, and Lacoste 2005; Leland and Rubinstein 1988) combines a position in the risky asset with a put option on this asset.”
- Effectiveness of CPPI Strategies under Discrete-Time Trading (2009, unknown): “Without postulating completeness, we refer to the works of Cox and Huang (1989), Brennan and Schwartz (1989), Grossman and Villa (1989), Grossman and Zhou (1993, 1996), Basak (1995), Cvitanic and Karatzas (1995, 1999), Browne (1999), Tepla (2000, 2001) and El Karoui, Jeanblanc, and Lacoste (2005) .”