biblioteca

Biblioteca

Albrecht P., Maurer R. Stephan T.G. (1995) “Shortfall-Performance  rollierender Wersicherungsstrategien, Finanzmarkt und Portfolio  Management  9, 2

Albrecht P., Dus I., Maurer R., Ruckpaul U., (2002) “Cost Average-Effekt: Fakt oder Mythos?” Manheimer manuskripte zu Risikotheorie, Portfolio Management und Vdersicherungswirtschaft, nr. 140.

Aliprantis C., Brown D., Werner J. (2000) “Minimum-Cost Portfolio Insurance”, Journal of Economic Dynamics and Control, 24, 1703-1719

Annaert J. – Van Osselaer  S. – Verstraete B. (2006) “Performance evaluation of portfolio insurance strategies using stochastic dominance criteria” , working paper FMA Europe Meeting, Stoccolma 2006 http//ssrn.com/abstract=979882

Balder S., Brandl M., Mahayni A.B. (2008) “Effectiveness of CPPI Strategies under Discrete-Time Trading, working paper

Balder S., Mahanyni A.B. (2008) “Cash-Lock Comparison of Portfolio Insurance Strategies”, working paper

Basak S. (1995) “A General Equilibrium Model of Portfolio Insurance”, The Review of Financial Studies, 8, 4, 1059-1090

Basak S. (2001) “A Comparative Study of Portfolio Insurance”, working paper

Bawa V.S. (1978) “Safety First, Stochastic Dominance and Optimal Portfolio Choice”, Journal of Financial and Quantitative Analysis, 13, 2, June 1978, 255-271

Benninga S. (1990) “Comparing Portfolio Insurance Strategies”, Finanzmarkt und Portfolio Management, 4, 1, 20-30

Benninga, S. (2008) Financial Modeling, The MIT Press

Benninga S., Blume M., (1985) “On the Optimality of Portfolio Insurance” The Journal of Finance, XL, 1341-1352

Bernstein W.J. (1996) “The Rebalancing Bonus: Theory and Practice”, http://www.efficientfrontier.com/ef/996/rebal.htm

Bernstein W.J., Wilkinson D. (1997) “Diversification, Rebalancing, and the Geometric Mean Frontier”, working paper

Bernstein W. J. (2001) The Intelligent Asset Allocator, McGraw Hill, 2001

Bertelli R., Linguanti E.,  (2008) Analisi finanziaria e gestione di portafoglio, Franco Angeli 2008

Bertrand , P., Prigent, J-L. (2002) “Portofolio Insurance Strategies: OBPI versus CPPI”, THEMA, working paper

Bertrand , P., Prigent, J-L. (2003) “Portofolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock Is Stochastic”, International Journal of Business, 8 (4)

Bethel J., Allen F. (2006) “Policy Issues raised by Structured Products”,  Harvard Law School John M. Olin Center for Law, Economics and Business Discussion Paper Series. Paper 560

Bird R., Dennis D., Tippett M., (1988) “A stop loss approach to portfolio insurance”, The Journal of Portfolio Management, Fall 1988, 35-40

Black F., Jones R., (1987) “Simplifying portfolio insurance”, The Journal of Portfolio Management, 14, 48-51

Black F., Jones R., (1987) “Simplifying portfolio insurance for corporate pension plans””, The Journal of Portfolio Management, Summer, 33-37

Black F., Perold A. F., (1992) “Theory of Constant Proportion Portfolio Insurance” Journal of Economic Dynamics and Control 1992 (16) 403-426.
CPPI come opzione Americana perpetua di tipo call

Black, F., Rouhani, R. (1989) “Constant Proportion Portofolio Insurance and the Synthetic Put Option: a Comparison” in: F.J. Fabozzi (ed.), Institutional Investor Focus on Investment Management, Cambridge Mass., Balliger, 695-708.
Confronto  CPPI e Put sintetica

Bodie Z. (1995) “On the Risk of Stocks in the Long Run”, Financial Analyst Journal, May-June 1995, 18-22

Bookstaber R. (1985) “The Use of Options in Performance Structuring”, The Journal of Portfolio Management, Summer, 36-50

Bookstaber R. (1988) “Dynamic Hedging and Asset Allocation Strategies”, in Arnott R.D., Fabozzi F.J. (a cura di) Asset Allocation. A Handbook of Portfolio Policies, Strategies and Tactics, Probus Publishing

Bookstaber R., Clark R. (1983) “An Algorithm to Calculate the Return Distribution of Portfolios with Options Positions, Management Science, 29, 4, 419-429

Bookstaber R., Clark R. (1984) “Option Portfolio Strategies: Measurement and Evaluation” in Journal of Business, 57, 4, 469-492

Bookstaber R., Clark R. (1985) “Problems in Evaluating the Performance of Portfolios with Options”, Financial Analyst Journal, Jan-Feb., 48-62

Bookstaber R., Langsam j.A. (2000) “Portfolio Insurance Trading Rules”, Journal of Futures Markets, 20, 1, 41-57

Boulier, J.F., Kanniganti A. (>1992) ”Expected performance and risks of various portfolio insurance strategies”, working paper

Boyle P., Vorst T. (1992) “Option Replication in Discrete Time with Transaction Costs”, The Journal of Finance, 47, 1, 271-293

Breeden, D.T. (2004) “Optimal Dynamic Trading Strategies”, Economic Notes, 33, 55-81

Brennan, M., Schwartz, E. (1976) “The Pricing of Equity Linked Insurance Policies with Asset  Value Guarantee”, Journal of Financial Economics, (2), 195-213.

Brennan, M., Schwartz, E. (1976/1989) “Time invariant Portofolio Insurance Stategies”, The Journal of Finance, (XLIII), 283-299.

Brennan, M., Schwartz, E. (1989) “Portfolio Insurance in Financial Market Equilibrium”, Journal of Business, 62, 455-472

Brennan, M. Solanki, R. (1981) “Optimal Portfolio Insurance”, Journal of Financial and Quantitative Analysis, (16), 279-300.

Brigo D., Dalessandro A., Neugebauer M., Triki F. (2009) “A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models”   Journal of Risk Management in Financial Institutions, 2, 4, 365 - 393

Callan Associates (2006) “An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy”, http://www.callan.com/research/download/?file=papers/free/27.pdf

Campbell J. Y. – Viceira L. M. (2002) Strategic Asset Allocation, Oxford University Press, 2002

Carhart M.M. (2003) “Global Tactical Asset Allocation” in Litterman B. (ed) (2003) Modern Investment Management, Wiley

Castellani G. – De Felice M. – Moriconi F. (2004) Strategie CPPI e polizze sulla vita – Problemi di valutazione, il controllo della strategia, Associazione Amici della Scuola Normale Superiore, Pisa – ANIA 18 febbraio 2004

Cesari, R., Cremonini, D. (2003) “Benchmarking, Portfolio Insurance and Technical Analysis: a Monte Carlo Comparison of Dynamic Strategies of Asset Allocation”, Journal of Economic Dynamics and Control, (27), 987-1011.

Chicago Board Options Exchange (2010) “Description of the CBOE S&P 500 BuyWrite Invex (BXM)”, http://www.cboe.com/micro/bxm/BXMDescription-Methodology.pdf

Choie K.S., Seff E.J. (1989) “TIPP: Insurance without complexity: Comment”, Journal of Portfolio Management, 16, 1, 107-108.

Clancy R., Holmes D., Martin L., Stewart S. (1988) “Constant Horizon Portfolio Insurance” in Luskin (1988)

Clarke R. G. – Arnott R. D. (1987) “The Cost of Porfolio Insurance: Tradeoffs and Choices”, Financial Analyst Journal, November-December 1987

Collins P., Stampfli J. (2009) “Static vs. Dynamic Investment Policy: Matching Asset Management to Investor Risk Preferences”, working paper

Cont R., Tankov P. (2007) “Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices”, Columbia University Center for Financial Engineering, Financial Engineering Report Nr. 2007-10

Crépey S. (2004) “Delta-hedging Vega Risk?” working paper

Cuoco D., He H., Issaenko S. (2001) “Optimal Dynamic Trading Strategies with Risk Limits”, working paper

D’Agostino G. – Minnenna M. (2000) “Il mercato primario delle obbligazioni bancarie strutturate”, Consob, Quaderni di Finanza, n. 39, giugno 2000.

Dichtl H., Schlenger C. (2009) “’Absolute Return’. Theorie und Empirie am Beispiel del “Best of Two”-Strategie”, in Handbuch Risikomanagement und Kapitalmarktorientierte Finanzierung, Frankfurt am Main, 2009


Dimson E., Marsh P., Staunton M. (2007) “The Worldwide Equity Premium: A Smaller Puzzle” in Mehra R. (ed.) Handbook of Investments: Equity Risk Premium, Elsevier

Dimson E., Marsh P., Staunton M. (2007) “Volatility and Portfolio Protection over 107 Years”, working paper

Dybvig P. (1988) “Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market”, The Review of Financial Studies, 1,1 67-88

El Karoui N., Jeanblanc M., Lacoste V. (2004) “Optimal portfolio management with American capital guarantee” Journal of Economic Dynamics and Control, 29, 449-468

Engle R. F. (2003) “Risk and Volatility: Econometric Models and Financial Practice”, Nobel Lecture

Esipov S., Vaysburd I. (****) “Dynamic Investment Strategies: Portfolio Insurance versus Efficient Frontier”, working paper

Estep, T., Kritzman, M., (1988) “TIPP: Insurance without Complexity”, The Journal of Portofolio Management, summer 1988

Etzioni E. S. (1986) “Rebalance disciplines for portfolio insurance” The Journal of Portfolio Management, fall 1986

Evnine J., Henriksson R. (1987) “Asset allocation and options” The Journal of Portfolio Management, fall 1987

Faber M. T. (2009) “A quantitative approach to tactical asset allocation” http//ssrn.com/abstract=962461. Precedente versione in The Journal of Wealth Management, Spring 2007

Férnandez P. (2008) “The Equity Premium in 100 Textbooks”, working paper

Figlewski S., Chidambaran N.K., Kaplan S. (1993) “ Evaluating the Performance of the Protective Put Strategy”, Financial Analyst Journal, Jul-Aug, 46-56

Fiher A., Matterson W. (2010) “Revisiting asset-allocation strategies for defined contribution retirement plans: A look at available risk-management strategies”, http://insight.milliman.com/article.php?cntid=6381

Fisher K. L., Statman M. (1999) “A Behavioral Framework for Time Diversification” Financial Analyst Journal, May/June 1999

Fleming J., Kirby C., Ostdiek B. (2000) “The Economic Value of Volatility Timing”,  Rice University Jesse H. Jones Graduate School of Management, Working Paper 1999.17.4

Fleming J., Kirby C., Ostdiek B. (2002) “The economic value of volatility timing using ‘realized’ volatility”, Journal of Financial Economics,

Fong G., Vasicek O.A. (1988) “Achieving the Best Return in Asset Allocation without Forecasting” in Arnott R.D., Fabozzi F.J. (a cura di) Asset Allocation. A Handbook of Portfolio Policies, Strategies and Tactics, Probus Publishing

Garcia C.B., Gould F.J. (1987) “An Empirical Study of Portfolio Insurance”, Financial Analyst Journal, Jul-Aug, 44-54

Gerlach S., Ramaswamy S., Scatigna M. (2006) “150 years of financial market volatility”,  BIS Quarterly Review, September 2006

Giot P. (2005) “Relationships Between Implied Volatility Indexes and Stock Index Returns” The Journal of Portfolio Management, Spring 2005

Granito M. (1986) “Investment rules under Ergodic Hypothesis” The Journal of Portfolio Management,  Fall 1986

Grannis S. F. (1988) “Applications of Dynamic Strategies” in Luskin (1988)

Grossman S. (1995) „Dynamic asset allocation and the informational efficiency of markets“,  The Journal of Finance, XL, 773-787

Grossman S. J., Zhou Z. (1996) “Equilibrium Analysis of  Portfolio Insurance“, The Journal of Finance, 51, 1379-1403

Gupta F., Kartinen S. (2000) “Bound to rebalance“ Risk, June 2000

Hagen U. E. (2002) Portfolio-Insurance-Strategien. Eine Analyse zur Absicherung von Aktienanlagen in der Kapitalllebenversicherung, Deutsche Universitäts-Verlag

Hakanoglou E., Kopprasch R., Roman E. (1989) “Constant proportion portfolio insurance for fixed-income investment” The Journal of Portfolio Management, Summer 1989

Hamidi B. , Jurczenko E. , Maillet B. (2007) “An Extended Expected CAViaR Approach for CPPI” , working paper

Hamidi B. – Maillet B. – Prigent J. (2008) “A Multi-start Time-varying Proportion Portfolio Insurance Strategy” , working paper, International Financial Research Forum, March 2008

Hamidi B. – Maillet B. – Prigent J. (2009) “A Risk Management approach  for  Portfolio Insurance Strategies” , working paper

Harlow W.V. (1991) “Asset Allocation in a Downside-Risk Framework”, Financial Analyst Journal, 47, 5, September/October 1991, 28-40

Harlow W.V., Rao K.S. (1989) “Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence”, Journal of Financial and Quantitative Analysis, 24, 3, September 1989, 285-311

Hatgioannides J., Mesomeris S. (2005) “Mean Reversion in Equity Prices: The G-7 Evidence”, working paper

Haug E. G., Taleb N.N. (2009) “Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula”, working paper, February 2009, Fifth Version http://ssrn.com/abstract/=1012075

Herold U., Maurer R., Purschaker N. (2005) “Total Return Fixed-Income Portfolio Management” The Journal of Portfolio Management, 32-42 Spring 2005

Hill J.M., Balasubramanian V., Gregory K., Tierens I. (2006) “Finding Alpha with Covered Index Writing”, Financial Analyst Journal, 62, 5, 29-46

Hommel H., Schiereck D. (2004) “Der Nutzen derivativer Finanzprodukte für Privatanleger” , working paper, European Business School

Hugson E., Stutzer M, Yung C. (2006) “The Misuse of Expected Returns” Financial Analyst Journal, November – December 2006.

Hull J.C. (2003) Options, Futures and other Derivatives, Prentice Hall

Huynh, H.T., Lai, V.S., Soumaré I. (2008) Stochastic simulation and applications in finance with MATLAB programs,  Wiley

Ibbotson R.G., Sineufield R.A., (1976) “Stocks, Bonds, Bills and Inflation: Year-by-Year Historical Returns (1926-1974)”, Journal of Business, 49, 1, 11-47

Ibbotson R.G., Sineufield R.A., (1976) “Stocks, Bonds, Bills and Inflation: Simulations of the Future (1976-2000)”, Journal of Business, 49, *, 313-338

Jansen D.W., de Vries C.G. (1991) “ On the Frequency of Large Stock Returns: Puttind Booms and Busts in Perspective” Review of Economics and Statistics, 73, 18-24

Jegadeesh N., Titman S. (1993) “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency” The Journal of Finance, XLVIII, 65-91

Jessen C. (2009) “Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage”, working paper

Johnson H. (1987) “Options on the Maximum or the Minimum of Several Assets”, Journal of Financial and Quantitative Analysis, 22, 3, 277-283

Kaminski K., Lo A. W. (2007) “When Do Stop-Loss Rules Stop Losses?” working paper

Kapadia N., Szado E. (2007) “The Risk and Return Characteristics of the Buy Write Strategy on the Russell 2000 Index”, working paper

Korn R.  (1997) Optimal Portfolios, World Scientific

Khuman A., Constantinou N. (****) “How does CPPI perform against the simplest guarantee strategies?”  working paper

Kingston G. (1989) “Theoretical Foundations of Constant-Proportion Portfolio Insurance”, Economic Letters, 29, 345-347

Koijen R.S.J., Rodriguez J.C., Sbuelz A. (2009) “Momentum and Mean Reversion in Strategic Asset Allocation” Management Science, 55, 7, 1199-1213

Legrenzi P. (2006) Finanza comportamentale e investimenti finanziari , Il Sole 24 Ore

Leland H.E. (1985) “Option Pricing and Replication with Transaction Costs“, The Journal of Finance, **, 5, 1283-1301

Leland H.E., (1980) “Who Should Buy Portfolio Insurance?”, Journal of Finance, XXXV, 581-594
Domanda di Pi è legata a tasso di cambiamento non a livello di tolleranza al rischio

Leland H.E., (1994) “Portfolio Insurance”, The New Plagrave Dictionary of Money & Finance, London, The Macmillan Press Limited

Leland H.E., (1996) “Optimal Asset Rebalancing in the Presence of Transaction Costs” working paper

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Leland H. E., Rubinstein M., (1988) “The Evolution of Portfolio Insurance” in Luskin (1988)

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Litterman B. (ed) (2003) Modern Investment Management, Wiley

Lo A.W. – Hasanhodzic J. (2009) The Heretics of Finance, Bloomberg Press
Con bibliografia su economisti e analisi tecnica

Longo M., Siciliano G., (1999) “La quotazione e l’offerta al pubblico di obbligazioni strutturate”, Consob, Quaderni di Finanza, n. 35, agosto 1999

Luskin D. (ed.) (1988) Portfolio Insurance: a guide to dynamic hedging, Wiley, 1988

Mann S., Ramanlal P. (1996) “Utility Maximizing Portfolio Insurance Strategies when Hedgers consider the Impact of their Trading on Security Prices”, Review of Quantitative Finance and Accounting, 6, 6, 47-62

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Maurer R., Schlag C. (2002) “Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform”, Center for  Financial Studies, Johan Wolfgang Goethe-Universität, working paper 2002/03

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Pastor L., Stambaugh R.F. (2010) “Are Stocks Really Less Volatile in the Long Run?”, working paper

Paulot L., Lacroze X. (2009) “One-Dimensional Pricing of CPPI”, working paper

Paulot L., Lacroze X. (2009) “Efficient Pricing of CPPI using Markov Operators”, working paper

Perold A. F., Sharpe W. F. (1988) “Dynamic Strategies for Asset Allocation” Financial Analyst Journal, January – February 1988

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Rendleman R. J., O’Brien T.J. (1990) “The Effects of  Volatility Misestimation  on Option-Replication Portfolio Insurance, Financial Analyst Journal, May-Jun, 61-70

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