Portfolio insurers and constant weight traders: who will survive?

Emilio Barucci, Pietro Dindo and Francesca Grassetti

Quantitative Finance, 2021, vol. 21, issue 12, 1993-2004

Abstract: Both portfolio insurers and constant weight traders investment strategies survive for low expected log returns of risky assets and dominate on different paths for high expected log returns

Date: 2021
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DOI: 10.1080/14697688.2021.1987506

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