Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion

TW Ng, T Nguyen - ASTIN Bulletin: The Journal of the IAA, 2023 - cambridge.org
We study an optimal investment problem under a joint limited expected relative loss and
portfolio insurance constraint with a general random benchmark. By making use of a static …

Optimal VPPI strategy under Omega ratio with stochastic benchmark

G Guan, L He, Z Liang, L Zhang - arXiv preprint arXiv:2403.13388, 2024 - arxiv.org
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is
to determine the risk multiplier by maximizing the extended Omega ratio of the investor's …