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20202026
most citedRetirement decision with addictive habit persistence in a jump diffusion market

6 citations · 10 across the 14 of their papers we have counts for

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econ.GN2024

Optimal VPPI strategy under Omega ratio with stochastic benchmark

Guohui Guan, Lin He, Zongxia Liang +1

This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the invest…