dc.contributor.advisor | Tsoi, Allanus Hak-Man, 1955- | eng |
dc.contributor.author | Wang, Mingming | eng |
dc.date.issued | 2012 | eng |
dc.date.submitted | 2012 Spring | eng |
dc.description | Title from PDF of title page (University of Missouri--Columbia, viewed on May 15, 2013). | eng |
dc.description | The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. | eng |
dc.description | Dissertation advisor: Professor Allanus H. Tsoi | eng |
dc.description | Includes bibliographical references. | eng |
dc.description | Vita. | eng |
dc.description | Ph. D. University of Missouri-Columbia, 2012. | eng |
dc.description | "May 2012" | eng |
dc.description.abstract | The concept of Constant Proportion Portfolio Insurance (CPPI) in terms of jump-diffusion, as well as the associated mean-variance hedging problem, has been studied. Three types of risk related to: the probability of loss, the expected loss, and the loss distribution are being analyzed. Both the discrete trading time case and the continuous trading time case have been studied. Next, CPPI with stochastic dynamic floors are being discussed. The concept of exponential proportion portfolio insurance is being introduced. Finally CPPI associated with the fractional Brownian market is being studied. | eng |
dc.description.bibref | Includes bibliographical references. | eng |
dc.format.extent | viii, 168 pages | eng |
dc.identifier.oclc | 872569254 | eng |
dc.identifier.uri | https://hdl.handle.net/10355/35198 | |
dc.identifier.uri | https://doi.org/10.32469/10355/35198 | eng |
dc.language | English | eng |
dc.publisher | University of Missouri--Columbia | eng |
dc.relation.ispartofcommunity | University of Missouri--Columbia. Graduate School. Theses and Dissertations | eng |
dc.rights | OpenAccess. | eng |
dc.rights.license | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License. | |
dc.subject | discrete trading time | eng |
dc.subject | continuous trading time | eng |
dc.subject | jump‐diffusion | eng |
dc.title | Constant proportion portfolio insurance and related topics with empirical study | eng |
dc.type | Thesis | eng |
thesis.degree.discipline | Mathematics (MU) | eng |
thesis.degree.grantor | University of Missouri--Columbia | eng |
thesis.degree.level | Doctoral | eng |
thesis.degree.name | Ph. D. | eng |