{"id":"https://openalex.org/W2016655339","doi":"https://doi.org/10.2139/ssrn.979882","title":"Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria","display_name":"Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W2016655339","doi":"https://doi.org/10.2139/ssrn.979882","mag":"2016655339"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.979882","doi":"https://doi.org/10.2139/ssrn.979882","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.979882","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.979882","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083790633","display_name":"Jan Annaert","orcid":"https://orcid.org/0000-0002-1680-3399","observed_orcids":["https://orcid.org/0000-0002-1680-3399"]},"institutions":[{"id":"https://openalex.org/I149213910","display_name":"University of Antwerp","ror":"https://ror.org/008x57b05","country_code":"BE","type":"education","lineage":["https://openalex.org/I149213910"]},{"id":"https://openalex.org/I4210092681","display_name":"Antwerp Management School","ror":"https://ror.org/00hm4a331","country_code":"BE","type":"education","lineage":["https://openalex.org/I149213910","https://openalex.org/I4210092681"]}],"countries":["BE"],"is_corresponding":true,"raw_author_name":"Jan Annaert","raw_affiliation_strings":["University of Antwerp - Antwerp Management School, Boogkeers 5, Antwerp, 2000, Belgium","University of Antwerp Department of Accounting & Finance, Faculty of Applied Economics, Prinsstraat 13, Antwerp, B-2000, Belgium","University of Antwerp - Antwerp Management School","University of Antwerp Department of Accounting & Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Antwerp - Antwerp Management School, Boogkeers 5, Antwerp, 2000, Belgium","institution_ids":["https://openalex.org/I149213910","https://openalex.org/I4210092681"]},{"raw_affiliation_string":"University of Antwerp Department of Accounting & Finance, Faculty of Applied Economics, Prinsstraat 13, Antwerp, B-2000, Belgium","institution_ids":["https://openalex.org/I149213910"]},{"raw_affiliation_string":"University of Antwerp - Antwerp Management School","institution_ids":["https://openalex.org/I149213910","https://openalex.org/I4210092681"]},{"raw_affiliation_string":"University of Antwerp Department of Accounting & Finance","institution_ids":["https://openalex.org/I149213910"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044778748","display_name":"Sofie Van Osselaer","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I32597200","display_name":"Ghent University","ror":"https://ror.org/00cv9y106","country_code":"BE","type":"education","lineage":["https://openalex.org/I32597200"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"Sofie Van Osselaer","raw_affiliation_strings":["Ghent University, Department of Financial Economics, W.Wilsonplein 5D, Gent, 9000, Belgium","Ghent University, Department of Financial Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ghent University, Department of Financial Economics, W.Wilsonplein 5D, Gent, 9000, Belgium","institution_ids":["https://openalex.org/I32597200"]},{"raw_affiliation_string":"Ghent University, Department of Financial Economics","institution_ids":["https://openalex.org/I32597200"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5017404755","display_name":"Bert Verstraete","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Bert Verstraete","raw_affiliation_strings":["KBC Asset Management, Havenlaan 2, Brussels, 1080, Belgium","KBC Asset Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"KBC Asset Management, Havenlaan 2, Brussels, 1080, Belgium","institution_ids":[]},{"raw_affiliation_string":"KBC Asset Management","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5083790633"],"corresponding_institution_ids":["https://openalex.org/I149213910","https://openalex.org/I4210092681"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":35,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.8535000085830688,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.8535000085830688,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.06880000233650208,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.03550000116229057,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-insurance","display_name":"portfolio insurance","score":1.0},{"id":"https://openalex.org/keywords/stochastic-dominance","display_name":"stochastic dominance","score":0.8949999809265137},{"id":"https://openalex.org/keywords/stop-loss","display_name":"stop-loss","score":0.7929999828338623},{"id":"https://openalex.org/keywords/constant-proportion-portfolio-insurance","display_name":"constant proportion portfolio insurance","score":0.9919999837875366},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8320000171661377},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9990000128746033},{"id":"https://openalex.org/keywords/block-bootstrap","display_name":"block bootstrap","score":0.6919999718666077},{"id":"https://openalex.org/keywords/sampling-error","display_name":"sampling error","score":0.7400000095367432},{"id":"https://openalex.org/keywords/rebalancing-frequency","display_name":"rebalancing frequency","score":0.9990000128746033},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.8619999885559082},{"id":"https://openalex.org/keywords/buy-and-hold-strategy","display_name":"buy-and-hold strategy","score":0.8450000286102295},{"id":"https://openalex.org/keywords/sensitivity-analysis","display_name":"sensitivity analysis","score":0.7599999904632568}],"concepts":[{"id":"https://openalex.org/C33252445","wikidata":"https://www.wikidata.org/wiki/Q3713315","display_name":"Stochastic dominance","level":2,"score":0.7585352659225464},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6184183955192566},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5506373047828674},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.525377631187439},{"id":"https://openalex.org/C151913843","wikidata":"https://www.wikidata.org/wiki/Q3454555","display_name":"Dominance (genetics)","level":3,"score":0.4140959680080414},{"id":"https://openalex.org/C128694398","wikidata":"https://www.wikidata.org/wiki/Q7231722","display_name":"Portfolio insurance","level":5,"score":0.4121749699115753},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34110134840011597},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.33816656470298767},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.30959928035736084},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.2576742172241211},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1941186785697937},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.16745132207870483},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.979882","doi":"https://doi.org/10.2139/ssrn.979882","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.979882","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.979882","doi":"https://doi.org/10.2139/ssrn.979882","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.979882","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W585390010","https://openalex.org/W1495168406","https://openalex.org/W1516216243","https://openalex.org/W1530600638","https://openalex.org/W1994072709","https://openalex.org/W1998316621","https://openalex.org/W2000564471","https://openalex.org/W2006260848","https://openalex.org/W2012092883","https://openalex.org/W2041278614","https://openalex.org/W2044916519","https://openalex.org/W2057489516","https://openalex.org/W2058690280","https://openalex.org/W2068841402","https://openalex.org/W2077791698","https://openalex.org/W2079945284","https://openalex.org/W2081590456","https://openalex.org/W2085317472","https://openalex.org/W2096641446","https://openalex.org/W2100680579","https://openalex.org/W2103781827","https://openalex.org/W2104307537","https://openalex.org/W2112408160","https://openalex.org/W2122643824","https://openalex.org/W2124601071","https://openalex.org/W2124818620","https://openalex.org/W2128624567","https://openalex.org/W2132527237","https://openalex.org/W2133075314","https://openalex.org/W2134834978","https://openalex.org/W2136168643","https://openalex.org/W2137381062","https://openalex.org/W2161836471","https://openalex.org/W2171075411","https://openalex.org/W2174144721","https://openalex.org/W2332498091","https://openalex.org/W2725899140","https://openalex.org/W2744732866","https://openalex.org/W3125931499","https://openalex.org/W4234003685","https://openalex.org/W4285719527","https://openalex.org/W6631597334"],"related_works":["https://openalex.org/W2262929902","https://openalex.org/W2360084508","https://openalex.org/W2529342120","https://openalex.org/W101239933","https://openalex.org/W2005377163","https://openalex.org/W2143258433","https://openalex.org/W3121937590","https://openalex.org/W3125601717","https://openalex.org/W7101178851","https://openalex.org/W1530199363"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":6}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}