Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
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 …
portfolio insurance constraint with a general random benchmark. By making use of a static …
Optimal VPPI strategy under Omega ratio with stochastic benchmark
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 …
to determine the risk multiplier by maximizing the extended Omega ratio of the investor's …