User menu

Determining an optimal multiplier in dynamic core-satellite strategies

Bibliographic reference Caliman, Thibaut ; D'Hondt, Catherine ; Petitjean, Mikael. Determining an optimal multiplier in dynamic core-satellite strategies. In: The Journal of Asset Management, Vol. 14, no.4, p. 210-227 (2013)
Permanent URL
  1. Amenc, N., Goltz, F. and Grigoriu, A. (2010) Risk control through dynamic core-satellite portfolios of ETFs: Applications to absolute return funds and tactical asset allocation. An EDHEC Risk-Institute Publication.
  2. Amenc Noël, Malaise Philippe, Martellini Lionel, Revisiting Core-Satellite Investing, 10.3905/jpm.2004.443322
  3. Black Fischer, Jones Robert W, Simplifying portfolio insurance, 10.3905/jpm.1987.409131
  4. Hamidi, B., Maillet, B. and Prigent, J.-L. (2010) A time-varying portfolio insurance strategy based on CAViAR approach. Bankers, Markets & Investors 102: 4–21.
  5. Israelsen Craig, A refinement to the Sharpe ratio and information ratio, 10.1057/palgrave.jam.2240158