Daniel Zieling

University of Duisburg-Essen - Mercator School of Management

Lotharstra├če 65

Duisburg, Nordrhein-Westfalen 47057

Germany

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Performance Evaluation of Optimized Portfolio Insurance Strategies

Number of pages: 30 Posted: 01 Dec 2012 Last Revised: 26 Oct 2013
Daniel Zieling, Antje Brigitte Mahayni and Sven Balder
University of Duisburg-Essen - Mercator School of Management, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 321 (61,751)

Abstract:

Portfolio insurance, Performance evaluation, S&P 500, Regime switching EGARCH model, Transaction costs, Trigger trading, Gap risk

2.

Robustness of Stable Volatility Strategies

Number of pages: 53 Posted: 04 Dec 2014 Last Revised: 13 May 2015
University of Muenster - Finance Center Muenster, Mercator School of Management and University of Duisburg-Essen - Mercator School of Management
Downloads 233 (91,044)

Abstract:

Stable volatility strategies, jump diffusion processes, model risk, robustness, performance evaluation