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Escobar-Anel Marcos Lichtenstern Andreas Zagst Rudi 《Financial Markets and Portfolio Management》2020,34(4):353-399
Financial Markets and Portfolio Management - Portfolio insurance strategies that ensure a certain minimum portfolio value or floor such as the Constant Proportion Portfolio Insurance (CPPI) and the... 相似文献
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Annals of Finance - This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our... 相似文献
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