Bibliografia
ACERBI, C., 2001, Gestioni patrimoniali a capitale garantito con allocazione
dinamica CPPI, Abax Bank.
BALDER, S., BRANDL, M., MAHAYNI, A., Gennaio 2008, Effectiveness of CPPI
strategies under discrete-time trading, Frankfurt MathFinance Conference.
BALDER, S., MAHAYNI, A., Maggio 2008, Cash-Lock comparison of Portfolio
Insurance strategies, Mercator School of Management, University of
Duisburg-Essen.
BALDER, S., MAHAYNI, A., Marzo 2009, How good are Portfolio Insurance
strategies?, Mercator School of Management, University of Duisburg-Essen.
BASAK, S., Dicembre 1993, A general equilibrium model of Portfolio Insurance, The Review of Financial Studies, Vol. 8, N°4.
BENNINGA, S., BLUME, M., Dicembre 1985, On the optimality of Portfolio
Insurance, Journal of Finance, Vol 15, n°5, 1341-1352.
BERTRAND, P., PRIGENT, J., 2002, Portfolio Insurance strategies: OBPI versus
CPPI, Thema, University of Cergy.
BERTRAND, P., PRIGENT, J., 2002, Portfolio Insurance strategies, Thema, University of Cergy.
BERTRAND, P., PRIGENT, J., Novembre 2004, Portfolio Insurance strategies: a
comparison of standard methods when the volatility of the stock is stochastic,
Groupement de Recherche en Economie Quantitative d’Aix-Marseille, Document de Travail N°46.
BERTRAND, P., PRIGENT, J., 2002, The extreme value of the CPPI method, Thema, University of Cergy.
BIERMAN, A. Jr., Maggio 1988, Defining and evaluating Portfolio Insurance , Financial Analyst Journal, 85-87 .
BOOKSTABER, R., CLARKE, R., 1984, Option portfolio strategies: measurement
and evaluation, Journal of Business,vol.57, n°4.
BOULIER, J., KANNIGANTU, A., 1993, Expected performance and risks of
various Portfolio Insurance strategies, Direction Recherche et Innovation,
University of Paris.
BOUYÉ, E., Luglio 2009, Portfolio Insurance:a short introduction
BRANDIMARTE, P., (2006), Numerical methods in finance and economics, Wiley Interscience, Wiley&Sons.
BRANGER, N., VRECKO, D., Ottobre 2009, Why is Portfolio Insurance attractive
to investors?, Finance Center Münster, University of Münster.
BRENNAN, M.J., SCHWARTZ, E.S., 1989, Portfolio Insurance and financial
market equilibrium, Journal of Business, Vol. 62, N°4.
BRENNAN, M.J., SCHWARTZ, E.S., Giugno 1988, Time-invariant Portfolio
Insurance strategies, Journal of Finance, Vol.18 n°2, 283-299.
BRENNAN, M.J., SOLANSKI, R., Settembre 1981, Optimal portfolio Insurance, Journal of Financial and Quantitative Analysis, Vol. 16, N°3.
BRINSON,G.P., HOOD, L.R., BEEBOWER, G.L. 1986, Determinants of Portfolio
Performance, Financial Analyst Journal, Vol.42, 39-44.
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 & Control, N°27, 987-1011.
CHEN, J.-S., LIAO, B. P., 2005, Goal-Directed Portfolio Insurance, Springer-Verlag Berlin Heidelberg.
CHERNIH, A., MAJ, M., SCHOUTENS, W., VANDUFFEL, S., 2008, The
CONT, R., TANKOV, P., Ottobre 2007, Constant Proportion Portfolio Insurance
in presence of jumps in asset prices, Financial Engineering Report, Columbia
University Center for Financial Engineering.
CLARKE, ROGER G., ARNOTT, ROBERT D., Novembre 1987, The cost of
Portfolio Insurance: tradeoffs and choices, Financial Analyst Journal, .
DOHERTY, N. A., Giugno 1984, Portfolio Efficient Insurance Buying Strategies, The Journal of Risk and Insurance, Vol. 51, N°2, 205-224.
DYBVIG, P. H., 1988, Inefficient Dynamic Portfolio Strategies or How to Throw
Away a Million Dollar in the Stock Market, The Review of Financial Studies, Vol 1,
67-88.
EALES, B. A., 1995, Financial risk management, McGraw-Hill, Londra.
ERMINI, M., Gennaio 2006, Constant Proportion Portfolio Insurance: protection
with dynamic allocation control, Management BNP Paribas Private Bank.
ESCH, E, KIEFFER, R., LOPEZ, T., (2005), Asset and Risk Management, Risk Oriented Finance, Wiley&Sons.
FRENCHEL, M.,2000, Risk Management: challenge and opportunity, Springer, Berlin.
GARCIA, C.B., GOULD, F.J., Luglio 1987, An empirical study of Portfolio
Insurance, Financial Analyst Journal, 44-53.
GISMONDI, F., MICOCCI, M., 2004, La gestione finanziaria dei fondi pensione, Il Sole24ore, Milano.
GOULD, F.J., Gennaio 1988, Stock Index Futures:The Arbitrage Cycle and
Portfolio Insurance, Financial Analyst Journal, Vol. 44, N°1, 48-62.
GROSSMAN, S. J., VILA, J., 1989, Portfolio Insurance in Complete Market, Journal of Business, Vol 62, N° 4.
GROSSMAN, S. J., ZHOU, Z., Settembre 1996, Equilibrium Analysis of Portfolio
Insurance, Journal of Finance, Vol. 51, N° 4.
HAIMES, Y. Y., 1998, Risk modeling, assessment and management, John Wiley & Sons, New York.
HAMIDI, B., MAILLET, B., PRIGENT, J., 2009, A risk management approach to
Portfolio Insurance strategies, Maison des Sciences Économiques , University of
Paris.
HILL, J. M., JONES, F., Luglio 1988, Equity trading, program trading, Portfolio
Insurance,computer trading and all that, Financial Analyst Journal, 29-37.
HO, L., CADLE, J., THEOBALD, M., Marzo 2010, An analysis of risk-based asset
allocation and Portfolio Insurance strategies, Springer Science-Business Media.
HULL, J.C., (2006), Option, futures and other derivatives, Pearson Prentice Hall. JACKLIN, C. J., KLEIDON, A. W., PFLEIDERER, P., 1992, Underestimation of
Portfolio Insurance and the Crash of October 1987, The Review of Financial
Studies, Vol. 5, N° 1, 35-63.
KATSIKIS, V.N., 2009, Computational and mathematical methods in Portfolio
Insurance strategies, Technological Education Institute of Piraeus.
KHANNA, S., 2008, CPPI for implementation of dynamic asset allocation of
immediate annuities, 11th Global Conference of Actuaries.
KHUMAN, A., COSTANTINOU, N., 2010, How does CPPI perform against the
simplest guarantee strategies?, ….
LELAND, H.E., Maggio 1980, Who should buy Portfolio Insurance, The Journal of Finance, Vol. XXXV N°2, 581-594.
LELAND, H.E., 1999, L'assicurazione di portafoglio. Elementi teorici ed
LEE, H.L., CHIAN, M.H., HSU, H., 2008, A new choice of dynamic asset
management: the Variable Proportion Portfolio Insurance, Applied Economics,
Vol. 40, 2135-2146.
MATSUMOTO, K., Maggio 2008, Portfolio Insurance with Liquidity Risk, Asia-Pacific Finan Markets, Vol.14, 363-386.
MERTON, R.C., SCHOLES, M.S., GLADSTEIN, M.L., Aprile 1978, The Returns
and Risk of Alternative Call Option Portfolio Investment Strategies, The Journal of
Business, Vol. 51, N°2, 183-242.
MISANI, N., 1999, Il risk management fra assicurazione e finanza, EGEA, Milano. MORIARTY, E. ,PHILLIPS, S., TOSINI, P., Gennaio 1981, A comparison of
option and futures in the management of Portfolio Risk, Financial Analyst Journal,
61-67.
NIETERT, B., 2003, Portfolio Insurance and model uncertainty, OR Spectrum 25: 295-316, Passau University, Chair of Finance, Springer.
ORSI, F., 2006, Misurazione del rischio finanziario,D.S.U.Pisa, Università di Pisa. PEROLD, A.F., SHARPE, W.F., Gennaio 1988, Dynamic strategies for asset
allocation, Financial Analyst Journal, 16-27.
PEROLD, A.F., SHARPE, W.F., Gennaio 1995, Dynamic strategies for asset
allocation, Financial Analyst Journal, 149-160.
PRIGENT, J., TAHAR, F., 2003, CPPI with Cushion Insurance, Thema, University of Cergy.
RADAELLI, M., Settembre 2009, Gestione dinamica di portafoglio con strategie di
momentum, Consulente indipendente, www.matrada.it.
RAMANLAL, P., MANN, STEVEN M., 1998, Portfolio Insurance strategies when
RUBINSTEIN, M., RENDLEMAN,R. J.,JR., MCENALLY, R. W., Novembre 1987, No “Best” Strategy for Portfolio Insurance, Finabcial Analyst Journal, Vol. 43, N° 6, 77-80.
RENDLEMAN, R.J.,JR., MCENALLY, R.W., Giugno 1987, Assessing the cost of
Portfolio Insurance, Financial Analyst Journal, 27-37.
RUBINSTEIN, M., Luglio 1985, Alternative paths to Portfolio Insurance, Financial Analyst Journal, 42-52.
RUBINSTEIN, M., Gennaio 1988, Portfolio Insurance and the market crash, Financial Analyst Journal, 38-47.
SAITA, F., 2003, Applying constant proportion portfolio insurance to guaranteed
return investment products: an empirical analysis, , working Paper Newfin 5/03;
Università L. Bocconi, Milano.
SCHWARTZ, EDUARDO S., 1980, Discussion on Leland article, The Journal of Finance, 595-596, University of Columbia.
