create a website

Performance evaluation, portfolio selection, and HARA utility. (2002). Breuer, Wolfgang ; Gurtler, Marc.
In: Working Papers.
RePEc:zbw:tbsifw:fw01v4.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 26

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bodie, Z, A Kane and A J Marcus(2005) Investments, 6th ed., McGraw-Hill, Boston et al. Borch, K(1960) Reciprocal Reinsurance Treaties, ASTIN Bulletin, 1, 170-191.
    Paper not yet in RePEc: Add citation now
  2. Brennan, M J and R Solanki(1981) Optimal Portfolio Insurance, Journal of Financial and Quantitative Analysis, 16, 279-300.

  3. Cass D and J E Stiglitz(1970) The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds, Journal of Economic Theory, 2, 122-160.

  4. Chunhachinda, P, K Dandapani, S Hamid and A J Prakash(1997), Portfolio Selection and Skewness: Evidence from International Stock Markets, Journal of Banking and Finance, 21, 143-167.

  5. Deutsche Boerse Group(2003), Leitfaden zu den Aktienindizes der Deutschen BÃrse â Version 5.1, Gruppe Deutsche BÃrse Information Services.
    Paper not yet in RePEc: Add citation now
  6. Dittmar, R(2002) Nonlinear Pricing Kernels, Kurtosis Preference and Cross-Section of Equity Returns, Journal of Finance, 57, 369-403.
    Paper not yet in RePEc: Add citation now
  7. Fletcher, J and J Kihanda(2005) An Examination of Alternative CAPM-Based Models in U.K. Stock Returns, Journal of Banking and Finance, 29, forthcoming.
    Paper not yet in RePEc: Add citation now
  8. Grinblatt M and S Titman(1989) Portfolio Performance Evaluation: Old Issues and New Insights, Review of Financial Studies, 2, 393-421.
    Paper not yet in RePEc: Add citation now
  9. Hakansson N H(1969) Risk Disposition and the Separation Property in Portfolio Selection, Journal of Financial and Quantitative Analysis, 8, 401-416.
    Paper not yet in RePEc: Add citation now
  10. Harvey C R and A Siddique(2000) Conditional Skewness in Asset Pricing Tests, Journal of Finance, 55, 1263-1295.

  11. Hlawitschka W(1994) The Empirical Nature of Taylor-Series Approximations to Expected Utility, American Economic Review, 84, 713-719.

  12. Jensen M C(1968) The Performance of Mutual Funds in the Period 1956-1964, Journal of Finance, 23, 389-416.
    Paper not yet in RePEc: Add citation now
  13. Jobson J D and B Korkie(1984) On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note, Journal of Finance, 39, 245-251.

  14. Kraus A and R H Litzenberger(1976) Skewness Preference and the Valuation of Risk Assets, Journal of Finance, 31, 1085-1100.

  15. Kroll Y, H Levy and H M Markowitz(1984) Mean-Variance versus Direct Utility Maximization, Journal of Finance, 39, 46-61.

  16. Leland H E(1999) Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World, Financial Analysts Journal, 54, (January/February), 27-36.
    Paper not yet in RePEc: Add citation now
  17. Levy H and H M Markowitz(1979) Approximating Expected Utility by a Function of Mean and Variance, American Economic Review, 69, 308-317.
    Paper not yet in RePEc: Add citation now
  18. Lintner J(1965) The Valuation of Risk and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, 47, 13-37.
    Paper not yet in RePEc: Add citation now
  19. Mossin J(1966) Equilibrium in a Capital Asset Pricing Market, Econometrica, 34, 768-783.
    Paper not yet in RePEc: Add citation now
  20. Patton A J(2004) On the Out-of-Sample Importance of Skewness and Asymmteric Dependence for Asset Allocation, Journal of Financial Econometrics, 2, 130-168.

  21. Prakash A J and R M Bear(1986) A Simplifying Performance Measure Recognizing Skewness, Financial Review, 21, 135-144.

  22. Sharpe W F(1964) Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19, 425-442.

  23. Sharpe W F(1966) Mutual Fund Performance, Journal of Business, 39, 119-138.

  24. Tobin J(1958). Liquidity Preference as Behaviour Towards Risk, Review of Economic Studies, 25, 65-86.
    Paper not yet in RePEc: Add citation now
  25. Treynor J L and F Black(1973) How to Use Security Analysis to Improve Portfolio Selection, Journal of Business, 46, 66-86. Appendices

  26. Treynor J L(1965) How to Rate Management of Investment Funds, Harvard Business Review 43,(January/February), 63-75.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Dollar-Cost Averaging with Yearly and Biyearly Installments. (2018). Zola, Paola ; Bisceglia, Michele.
    In: Journal of Applied Management and Investments.
    RePEc:ods:journl:v:7:y:2018:i:1:p:1-14.

    Full description at Econpapers || Download paper

  2. Risk control in asset management: Motives and concepts. (2016). Zechner, Josef ; Dangl, Thomas ; Randl, Otto.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:546.

    Full description at Econpapers || Download paper

  3. Structured products under generalized kappa ratio. (2016). Hentati-Kaffel, Rania.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:599-614.

    Full description at Econpapers || Download paper

  4. Equilibrium of financial derivative markets under portfolio insurance constraints. (2016). Prigent, Jean-Luc ; BERTRAND, Philippe.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:278-291.

    Full description at Econpapers || Download paper

  5. Optimal positioning in financial derivatives under mixture distributions. (2016). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania ; Hentati-Kaffel, R.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pa:p:115-124.

    Full description at Econpapers || Download paper

  6. Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance. (2015). Yin, Libo ; Han, Liyan.
    In: Computational Economics.
    RePEc:kap:compec:v:45:y:2015:i:1:p:151-181.

    Full description at Econpapers || Download paper

  7. Downside risk in multiperiod tracking error models. (2014). Canestrelli, Elio ; Barro, Diana.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:22:y:2014:i:2:p:263-283.

    Full description at Econpapers || Download paper

  8. Structured portfolio analysis under SharpeOmega ratio. (2014). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania ; Hentati-Kaffel, Rania.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-425.

    Full description at Econpapers || Download paper

  9. Optimal Positioning in Financial Derivatives under Mixture Distributions. (2014). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania ; Hentati-Kaffel, R..
    In: Working Papers.
    RePEc:ipg:wpaper:2014-347.

    Full description at Econpapers || Download paper

  10. Optimal Portfolio Positioning within Generalized Johnson Distributions. (2014). Prigent, Jean-Luc ; Naguez, Naceur.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-336.

    Full description at Econpapers || Download paper

  11. Equilibrium of Financial Derivative Markets under Portfolio Insurance Constraints. (2014). Bertrand, Philippe.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-330.

    Full description at Econpapers || Download paper

  12. Portfolio Optimization within Mixture of Distributions. (2014). Prigent, Jean-Luc ; Kaffel, Rania Hentati.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01066105.

    Full description at Econpapers || Download paper

  13. Portfolio Optimization within Mixture of Distributions. (2014). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-01066105.

    Full description at Econpapers || Download paper

  14. Portfolio insurance: Gap risk under conditional multiples. (2014). Prigent, Jean-Luc ; ben ameur, hachmi.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:238-253.

    Full description at Econpapers || Download paper

  15. Optimal Payoffs under State-dependent Preferences. (2014). Vanduffel, Steven ; Moraux, Franck ; Rueschendorf, Ludger ; Bernard, Carole.
    In: Papers.
    RePEc:arx:papers:1308.6465.

    Full description at Econpapers || Download paper

  16. Best portfolio insurance for long-term investment strategies in realistic conditions. (2013). Scheller, Johanna ; Pezier, Jacques .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:52:y:2013:i:2:p:263-274.

    Full description at Econpapers || Download paper

  17. Optimal portfolio positioning under ambiguity. (2013). Prigent, Jean-Luc ; ben ameur, hachmi.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:34:y:2013:i:c:p:89-97.

    Full description at Econpapers || Download paper

  18. A scenario-based description of optimal American capital guaranteed strategies. (2013). Attaoui, Sami ; Lacoste, Vincent.
    In: Finance.
    RePEc:cai:finpug:fina_342_0065.

    Full description at Econpapers || Download paper

  19. Downside risk in multiperiod tracking error models. (2012). Canestrelli, Elio ; Barro, Diana.
    In: Working Papers.
    RePEc:ven:wpaper:2012_17.

    Full description at Econpapers || Download paper

  20. Average Portfolio Insurance Strategies. (2012). Scheller, Johanna ; Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2012-05.

    Full description at Econpapers || Download paper

  21. Structured portfolio analysis under SharpeOmega ratio. (2012). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania ; Hentati-Kaffel, Rania.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:12002.

    Full description at Econpapers || Download paper

  22. Structured portfolio analysis under SharpeOmega ratio. (2012). Prigent, Jean-Luc ; Hentati, Rania.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00657327.

    Full description at Econpapers || Download paper

  23. Structured portfolio analysis under SharpeOmega ratio. (2012). Prigent, Jean-Luc ; HENTATI KAFFEL, Rania.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-00657327.

    Full description at Econpapers || Download paper

  24. A Comprehensive Evaluation of Portfolio Insurance Strategies. (2011). Scheller, Johanna ; Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-15.

    Full description at Econpapers || Download paper

  25. Rationalization of Investment Preference Criteria. (2011). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-12.

    Full description at Econpapers || Download paper

  26. Effects of background risks on cautiousness with an application to a portfolio choice problem. (2011). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:146:y:2011:i:1:p:346-358.

    Full description at Econpapers || Download paper

  27. Omega performance measure and portfolio insurance. (2011). Prigent, Jean-Luc ; BERTRAND, Philippe.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:7:p:1811-1823.

    Full description at Econpapers || Download paper

  28. Structured Portfolio Analysis under SharpeOmega Ratio. (2010). Prigent, Jean-Luc ; Hentati, Rania.
    In: EcoMod2010.
    RePEc:ekd:002596:259600073.

    Full description at Econpapers || Download paper

  29. Risk management strategies via minimax portfolio optimization. (2010). Polak, George G. ; Sweeney, Dennis J. ; Rogers, David F..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:1:p:409-419.

    Full description at Econpapers || Download paper

  30. Equilibrium open interest. (2010). Judd, Kenneth ; Leisen, Dietmar P. J., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:12:p:2578-2600.

    Full description at Econpapers || Download paper

  31. Tracking error with minimum guarantee constraints. (2008). Canestrelli, Elio ; Barro, Diana.
    In: Working Papers.
    RePEc:vnm:wpaper:172.

    Full description at Econpapers || Download paper

  32. Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem. (2008). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:654.

    Full description at Econpapers || Download paper

  33. Integrated portfolio management with options. (2008). Zagst, Rudi ; Scheuenstuhl, Gerhard .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:185:y:2008:i:3:p:1477-1500.

    Full description at Econpapers || Download paper

  34. Hedging global environment risks: An option based portfolio insurance. (2007). Prigent, Jean-Luc ; de Palma, André.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2007-09.

    Full description at Econpapers || Download paper

  35. Representative consumers risk aversion and efficient risk-sharing rules. (2007). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:137:y:2007:i:1:p:652-672.

    Full description at Econpapers || Download paper

  36. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence .
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  37. Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks. (2006). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:621.

    Full description at Econpapers || Download paper

  38. PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING. (2006). Vanden, Joel M..
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:16:y:2006:i:2:p:387-417.

    Full description at Econpapers || Download paper

  39. Dollar Cost Averaging. (2005). Brennan, Michael ; Torous, Walt ; Li, Feifei.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt53p0r65q.

    Full description at Econpapers || Download paper

  40. Representative Consumers Risk Aversion and Efficient Risk-Sharing Rules. (2004). Kuzmics, Christoph ; Hara, Chiaki.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0452.

    Full description at Econpapers || Download paper

  41. Heterogeneity of Investors and Asset Pricing in a Risk-Value World. (2003). Weber, Martin ; Franke, Günter.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3832.

    Full description at Econpapers || Download paper

  42. Explaining Hedge Fund Investment Styles by Loss Aversion. (2002). Siegmann, Arjen ; Lucas, Andre ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20020046.

    Full description at Econpapers || Download paper

  43. Disagreement and equilibrium option trading volume. (2002). Cassano, Mark .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:5:y:2002:i:2:p:153-179.

    Full description at Econpapers || Download paper

  44. Rebels, Conformists, Contrarians and Momentum Traders. (2000). Ross, Stephen A. ; Gatev, Evan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7835.

    Full description at Econpapers || Download paper

  45. Recovering Risk Aversion from Option Prices and Realized Returns. (1998). Jackwerth, Jens.
    In: Finance.
    RePEc:wpa:wuwpfi:9803002.

    Full description at Econpapers || Download paper

  46. Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk,. (1998). Franke, Günter ; Stapleton, Richard C. ; Subrahmanyam, Marti G..
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:82:y:1998:i:1:p:89-109.

    Full description at Econpapers || Download paper

  47. Pension schemes as options on pension fund assets: implications for pension fund management. (1998). Blake, David.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:23:y:1998:i:3:p:263-286.

    Full description at Econpapers || Download paper

  48. Who buys and who sells options: The role and pricing of options in an economy with background risk. (1995). Franke, Günter ; Subrahmanyam, Marti G. ; Stapleton, Richard C..
    In: Discussion Papers, Series II.
    RePEc:zbw:kondp2:253.

    Full description at Econpapers || Download paper

  49. AN EMPIRICAL ANALYSIS OF INSURED PORTFOLIO STRATEGIES USING LISTED OPTIONS. (1988). Booth, James R. ; Tehranian, Hassan ; Trennepohl, Gary L..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:11:y:1988:i:1:p:1-12.

    Full description at Econpapers || Download paper

  50. Mortgage Rate Insurance and the Canadian Mortgage Market. (1984). Capozza, Dennis ; Gau, George W..
    In: Canadian Public Policy.
    RePEc:cpp:issued:v:10:y:1984:i:3:p:296-304.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-17 17:52:07 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.