Optimal Guaranteed Return Portfolios and the Casino Effect

References

  • Dert Cees, Oldenkamp Bart. Optioned portfolios: The trade-off between expected and guaranteed returns. Proceedings of the 6th International AFIR Colloquium (1996) Nuremberg/Germany:1443–1461Google Scholar
  • Dybvig Philip H. Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market. Rev. Financial Stud. (1988) 1(1):67–88CrossrefGoogle Scholar
  • Harlow W. V. Asset allocation in a downside risk framework. Financial Analyst J. (1991) 47(5):28–40CrossrefGoogle Scholar
  • Ingersoll Jonathan E.Theory of Financial Decision Making (1987) (Rowman and Littlefield, Savage, MD) Google Scholar
  • Leibowitz Martin L., Henriksson Roy D. Portfolio optimization with shortfall constraints: A confidence-limit approach to managing downside risk. Financial Analyst J. (1989) 15(2):34–41CrossrefGoogle Scholar
  • Leibowitz Martin L., Kogelman Stanley. Asset allocation under shortfall risk constraints. J. Portfolio Management (1991) 17(2):18–23CrossrefGoogle Scholar
  • Markowitz H. M. Portfolio selection. J. Finance (1952) 7:77–91Google Scholar
  • Merrill Craig, Thorley Steven. Time diversification: Perspectives from option pricing theory. Financial Analysts J. (1996) May/June):13–19CrossrefGoogle Scholar
  • Pelsser Antoon, Vorst Ton. Optimal optioned portfolios with confidence limits on shortfall constraints. Adv. Quant. Anal. Finance Accounting (1995) 3A:205–220Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.