Research Data from University of Cergy Update Understanding of Operations Science (Dynamic portfolio insurance strategies: risk management under…

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Research Data from University of Cergy Update Understanding of Operations Science (Dynamic portfolio insurance strategies: risk management under Johnson distributions)

By a News Reporter-Staff News Editor at Investment Weekly News -- New research on Science - Operations Science is the subject of a report. According to news reporting from Cergy Pontoise, France, by VerticalNews editors, the research stated, "The purpose of this paper is to analyze the gap risk of dynamic portfolio insurance strategies which generalize the 'Constant Proportion Portfolio Insurance' (CPPI) method by allowing the multiple to vary. We illustrate our theoretical results for conditional CPPI strategies indexed on hedge funds."

The news correspondents obtained a quote from the research from the University of Cergy, "For this purpose, we provide accurate estimations of hedge funds returns by means of Johnson distributions. We introduce also an EGARCH type model with Johnson innovations to describe dynamics of risky logreturns. We use both VaR and Expected Shortfall as downside risk measures to control gap risk. We provide accurate upper bounds on the multiple in order to limit this gap risk. We illustrate our theoretical results on Credit Suisse Hedge Fund Index."

According to the news reporters, the research concluded: "The time period of the analysis lies between December 1994 and December 2013."

For more information on this research see: Dynamic portfolio insurance strategies: risk management under Johnson distributions. Annals of Operations Research, 2018;262(2):605-629. Annals of Operations Research can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Annals of Operations Research - www.springerlink.com/content/0254-5330/)

Our news journalists report that additional information may be obtained by contacting N. Naguez, Univ Cergy Pontoise, THEMA, F-95011 Cergy Pontoise, France.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s10479-016-2121-8. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Cergy Pontoise, France, Europe, Operations Science, Science, Investment and Finance, University of Cergy.