id sid eid entity type issue-123 1 1 baltic journal of economic ORG issue-123 1 2 127 CARDINAL issue-123 2 1 2 CARDINAL issue-123 2 2 3 CARDINAL issue-123 2 3 2016 DATE issue-123 2 4 1 CARDINAL issue-123 3 1 val.khokhlov@gmail.com perold-sharpe PERSON issue-123 3 2 khokhlov1 PERSON issue-123 3 3 ukraine GPE issue-123 4 1 cppi ORG issue-123 4 2 sharpe PERSON issue-123 6 1 2007-2015 DATE issue-123 7 1 400 CARDINAL issue-123 7 2 3 CARDINAL issue-123 8 1 two CARDINAL issue-123 8 2 u.s. GPE issue-123 9 1 36 months DATE issue-123 10 1 sharpe PERSON issue-123 11 1 100% PERCENT issue-123 13 1 50% PERCENT issue-123 15 1 cppi ORG issue-123 21 1 monte carlo simulation ORG issue-123 22 1 jel classification ORG issue-123 22 2 1 CARDINAL issue-123 25 1 perold PERSON issue-123 25 2 sharpe PERSON issue-123 25 3 1988 DATE issue-123 25 4 three CARDINAL issue-123 25 5 cppi ORG issue-123 26 1 two CARDINAL issue-123 27 1 third ORDINAL issue-123 27 2 cppi ORG issue-123 27 3 1992 DATE issue-123 28 1 sharpe PERSON issue-123 29 1 blanchett ORG issue-123 29 2 2011 DATE issue-123 30 1 leibowitz ORG issue-123 30 2 2001 DATE issue-123 30 3 60/40 CARDINAL issue-123 33 1 montecarlo simulation ORG issue-123 34 1 perold-sharpe PERSON issue-123 35 1 baltic journal of economic ORG issue-123 35 2 128 CARDINAL issue-123 36 1 2 CARDINAL issue-123 36 2 3 CARDINAL issue-123 36 3 2016 DATE issue-123 36 4 60/40 CARDINAL issue-123 36 5 2007-2015 DATE issue-123 36 6 three CARDINAL issue-123 36 7 400 CARDINAL issue-123 36 8 monte-carlo ORG issue-123 36 9 three CARDINAL issue-123 36 10 5 years DATE issue-123 36 11 3 years DATE issue-123 36 12 18 months DATE issue-123 38 1 2 CARDINAL issue-123 38 2 sharpe PERSON issue-123 38 3 two CARDINAL issue-123 42 1 two CARDINAL issue-123 42 2 sharpe PERSON issue-123 42 3 zero CARDINAL issue-123 42 4 zero CARDINAL issue-123 42 5 zero CARDINAL issue-123 44 1 102 months DATE issue-123 44 2 july 2007 DATE issue-123 44 3 december 2015 DATE issue-123 45 1 three CARDINAL issue-123 45 2 cppi ORG issue-123 45 3 june 30, 2007 DATE issue-123 45 4 1,000,000 MONEY issue-123 45 5 60% PERCENT issue-123 45 6 40% PERCENT issue-123 45 7 3988 CARDINAL issue-123 45 8 4697 CARDINAL issue-123 47 1 the beginning of each month DATE issue-123 47 2 60% and 40% PERCENT issue-123 48 1 cppi ORG issue-123 48 2 the beginning of each month DATE issue-123 48 3 700,000 MONEY issue-123 48 4 2: dollars MONEY issue-123 48 5 1 CARDINAL issue-123 48 6 cppi ORG issue-123 48 7 1 CARDINAL issue-123 49 1 almost 60/40 CARDINAL issue-123 49 2 20142015 DATE issue-123 50 1 monthly DATE issue-123 51 1 1 CARDINAL issue-123 51 2 0.8% PERCENT issue-123 52 1 2008-2009 DATE issue-123 52 2 100% PERCENT issue-123 52 3 two CARDINAL issue-123 53 1 0% PERCENT issue-123 53 2 20% PERCENT issue-123 53 3 40% PERCENT issue-123 53 4 60% PERCENT issue-123 53 5 80% PERCENT issue-123 53 6 100% PERCENT issue-123 53 7 al lo PERSON issue-123 53 8 st GPE issue-123 53 9 ks GPE issue-123 54 1 1. CARDINAL issue-123 54 2 dymanics PERSON issue-123 54 3 cppi ORG issue-123 54 4 1 CARDINAL issue-123 54 5 37 months DATE issue-123 54 6 between july 2007 DATE issue-123 54 7 december 2015 DATE issue-123 54 8 22 months DATE issue-123 54 9 cppi ORG issue-123 54 10 43 months DATE issue-123 55 1 1 CARDINAL issue-123 55 2 cppi ORG issue-123 55 3 2007-2015 DATE issue-123 55 4 3.86% PERCENT issue-123 55 5 4.63% PERCENT issue-123 55 6 6.16% PERCENT issue-123 55 7 9.18% PERCENT issue-123 55 8 9.56% PERCENT issue-123 55 9 10.43% PERCENT issue-123 55 10 months DATE issue-123 55 11 the current month DATE issue-123 55 12 22 43 CARDINAL issue-123 55 13 this month DATE issue-123 55 14 monthly DATE issue-123 55 15 0.35% PERCENT issue-123 55 16 0.42% PERCENT issue-123 55 17 0.54% PERCENT issue-123 55 18 monthly DATE issue-123 55 19 2.65% PERCENT issue-123 55 20 2.76% PERCENT issue-123 55 21 3.01% PERCENT issue-123 56 1 4.3774 CARDINAL issue-123 56 2 1.9440 MONEY issue-123 56 3 monthly DATE issue-123 56 4 -11.17% -10.78% PERCENT issue-123 56 5 5% PERCENT issue-123 56 6 monthly DATE issue-123 56 7 -3.95 ORG issue-123 56 8 -3.98% PERCENT issue-123 56 9 monthly DATE issue-123 56 10 0.66% PERCENT issue-123 56 11 0.62% PERCENT issue-123 56 12 0.77% PERCENT issue-123 56 13 95% PERCENT issue-123 56 14 monthly DATE issue-123 56 15 3.51% PERCENT issue-123 56 16 4.14% PERCENT issue-123 56 17 4.80% PERCENT issue-123 56 18 monthly DATE issue-123 56 19 7.55% PERCENT issue-123 56 20 6.04% PERCENT issue-123 56 21 8.51% PERCENT issue-123 56 22 baltic journal of economic ORG issue-123 56 23 129 CARDINAL issue-123 57 1 2 CARDINAL issue-123 57 2 3 CARDINAL issue-123 57 3 2016 DATE issue-123 57 4 months DATE issue-123 59 1 cppi ORG issue-123 59 2 84 CARDINAL issue-123 59 3 102 months DATE issue-123 60 1 13 early months DATE issue-123 60 2 early 2008 DATE issue-123 60 3 5 months DATE issue-123 61 1 2 CARDINAL issue-123 62 1 2 CARDINAL issue-123 62 2 cppi ORG issue-123 62 3 102 CARDINAL issue-123 62 4 monthly DATE issue-123 62 5 1 CARDINAL issue-123 63 1 monthly DATE issue-123 64 1 cppi ORG issue-123 65 1 cppi ORG issue-123 66 1 three CARDINAL issue-123 66 2 5% PERCENT issue-123 66 3 5% PERCENT issue-123 68 1 cppi ORG issue-123 68 2 2011-2015 DATE issue-123 68 3 the second half on 2008 DATE issue-123 69 1 2009-2010 DATE issue-123 70 1 peroldsharpe NORP issue-123 71 1 monthly DATE issue-123 71 2 daily DATE issue-123 71 3 3 CARDINAL issue-123 71 4 the given month DATE issue-123 72 1 october 2008 DATE issue-123 72 2 march 2009 DATE issue-123 72 3 august 2011 DATE issue-123 75 1 3 CARDINAL issue-123 75 2 3 CARDINAL issue-123 75 3 three CARDINAL issue-123 75 4 102 months DATE issue-123 75 5 the monte carlo simulation ORG issue-123 75 6 60 months DATE issue-123 75 7 36 months DATE issue-123 75 8 18 months DATE issue-123 76 1 1,000,000 MONEY issue-123 76 2 60% PERCENT issue-123 76 3 40% PERCENT issue-123 76 4 three CARDINAL issue-123 76 5 monthly DATE issue-123 77 1 400 CARDINAL issue-123 78 1 60 months DATE issue-123 78 2 2 CARDINAL issue-123 78 3 cppi ORG issue-123 79 1 357 CARDINAL issue-123 79 2 400 CARDINAL issue-123 79 3 39 CARDINAL issue-123 79 4 2007 DATE issue-123 79 5 baltic journal ORG issue-123 79 6 130 CARDINAL issue-123 80 1 2 CARDINAL issue-123 80 2 3 CARDINAL issue-123 80 3 2016 early 2008 DATE issue-123 81 1 cppi ORG issue-123 81 2 2008-2009 DATE issue-123 82 1 36 months DATE issue-123 82 2 2 CARDINAL issue-123 82 3 cppi ORG issue-123 83 1 cppi ORG issue-123 83 2 36 months DATE issue-123 84 1 18 months DATE issue-123 84 2 2 CARDINAL issue-123 84 3 three CARDINAL issue-123 85 1 cppi ORG issue-123 86 1 36 months DATE issue-123 86 2 95% PERCENT issue-123 88 1 zero CARDINAL issue-123 88 2 cppi ORG issue-123 88 3 2 CARDINAL issue-123 91 1 two CARDINAL issue-123 92 1 • CARDINAL issue-123 92 2 0.005 MONEY issue-123 92 3 1 MONEY issue-123 92 4 0.5% PERCENT issue-123 92 5 • CARDINAL issue-123 92 6 6.95 MONEY issue-123 93 1 1,000,000 MONEY issue-123 93 2 1,000 MONEY issue-123 93 3 5 years DATE issue-123 94 1 less than 0.1% PERCENT issue-123 94 2 less than 0.02% PERCENT issue-123 95 1 monthly DATE issue-123 95 2 higher than $100,000 MONEY issue-123 96 1 two CARDINAL issue-123 97 1 4 CARDINAL issue-123 97 2 12 to 60 months DATE issue-123 97 3 100 CARDINAL issue-123 97 4 monte-carlo ORG issue-123 98 1 2 CARDINAL issue-123 98 2 monte-carlo ORG issue-123 98 3 cppi ORG issue-123 98 4 a. holding PERSON issue-123 98 5 60 months DATE issue-123 98 6 7.87% PERCENT issue-123 98 7 8.34% PERCENT issue-123 98 8 9.92% PERCENT issue-123 98 9 0.19% PERCENT issue-123 98 10 0.17% PERCENT issue-123 98 11 0.21% PERCENT issue-123 98 12 95% PERCENT issue-123 98 13 7.50%-8.24% PERCENT issue-123 98 14 8.02%-8.66% PERCENT issue-123 98 15 9.51%-10.34% PERCENT issue-123 98 16 4 CARDINAL issue-123 98 17 357 CARDINAL issue-123 98 18 0% PERCENT issue-123 98 19 197% PERCENT issue-123 98 20 280% PERCENT issue-123 98 21 0.01% PERCENT issue-123 98 22 0.02% PERCENT issue-123 98 23 0.02% PERCENT issue-123 98 24 0.01% PERCENT issue-123 98 25 0.08% PERCENT issue-123 98 26 0.07% PERCENT issue-123 98 27 36 months DATE issue-123 98 28 7.84% PERCENT issue-123 98 29 8.45% PERCENT issue-123 98 30 9.18% PERCENT issue-123 98 31 0.26% PERCENT issue-123 98 32 0.25% PERCENT issue-123 98 33 0.30% PERCENT issue-123 98 34 95% PERCENT issue-123 99 1 7.33%-8.36% PERCENT issue-123 99 2 7.95%-8.94% PERCENT issue-123 99 3 8.59%-9.77% PERCENT issue-123 99 4 14 161 225 CARDINAL issue-123 99 5 0% PERCENT issue-123 99 6 114% PERCENT issue-123 99 7 201% PERCENT issue-123 99 8 0.01% PERCENT issue-123 99 9 0.01% PERCENT issue-123 99 10 0.02% PERCENT issue-123 99 11 0.01% PERCENT issue-123 99 12 0.05% PERCENT issue-123 99 13 0.05% PERCENT issue-123 99 14 c. holding PERSON issue-123 99 15 18 months DATE issue-123 99 16 7.35% PERCENT issue-123 99 17 7.48% PERCENT issue-123 99 18 8.17% PERCENT issue-123 99 19 0.46% PERCENT issue-123 99 20 0.46% PERCENT issue-123 99 21 0.45% PERCENT issue-123 99 22 95% PERCENT issue-123 100 1 6.46%-8.24% PERCENT issue-123 100 2 6.58%-8.39% PERCENT issue-123 100 3 7.30%-9.05% PERCENT issue-123 100 4 16 156 CARDINAL issue-123 100 5 228 CARDINAL issue-123 100 6 0% PERCENT issue-123 100 7 54% PERCENT issue-123 100 8 102% PERCENT issue-123 100 9 0.01% PERCENT issue-123 100 10 0.01% PERCENT issue-123 100 11 0.01% PERCENT issue-123 100 12 0.01% PERCENT issue-123 100 13 0.03% PERCENT issue-123 100 14 0.03% PERCENT issue-123 100 15 baltic journal ORG issue-123 100 16 131 CARDINAL issue-123 101 1 2 CARDINAL issue-123 101 2 3 CARDINAL issue-123 101 3 2016 DATE issue-123 101 4 between july 1, 2017 DATE issue-123 101 5 december 31, 2015 DATE issue-123 102 1 zero CARDINAL issue-123 103 1 cppi ORG issue-123 103 2 4 CARDINAL issue-123 104 1 2012-2015 DATE issue-123 104 2 100% PERCENT issue-123 104 3 cppi ORG issue-123 104 4 2007-2011 DATE issue-123 107 1 5 CARDINAL issue-123 107 2 cppi ORG issue-123 107 3 months DATE issue-123 108 1 100% PERCENT issue-123 109 1 5 CARDINAL issue-123 111 1 0% PERCENT issue-123 111 2 100% PERCENT issue-123 111 3 200% PERCENT issue-123 111 4 300% PERCENT issue-123 111 5 400% PERCENT issue-123 111 6 500% PERCENT issue-123 111 7 600% PERCENT issue-123 111 8 700% PERCENT issue-123 111 9 0% PERCENT issue-123 111 10 10% PERCENT issue-123 111 11 20% PERCENT issue-123 111 12 30% PERCENT issue-123 111 13 40% PERCENT issue-123 111 14 50% PERCENT issue-123 111 15 60% PERCENT issue-123 111 16 70% PERCENT issue-123 111 17 80% PERCENT issue-123 111 18 90% PERCENT issue-123 111 19 100% PERCENT issue-123 112 1 lio tu rn ov PERSON issue-123 113 1 6 CARDINAL issue-123 113 2 a. volume- PERSON issue-123 114 1 5 CARDINAL issue-123 114 2 5 CARDINAL issue-123 114 3 100 CARDINAL issue-123 114 4 monte-carlo PERSON issue-123 114 5 60 month DATE issue-123 115 1 between july 1, 2017 DATE issue-123 115 2 december 31, 2015 DATE issue-123 115 3 between 20% and 80% PERCENT issue-123 116 1 1 CARDINAL issue-123 118 1 6 CARDINAL issue-123 119 1 100% to 250% PERCENT issue-123 119 2 40% PERCENT issue-123 119 3 0% PERCENT issue-123 119 4 100% PERCENT issue-123 119 5 200% PERCENT issue-123 119 6 300% PERCENT issue-123 119 7 400% PERCENT issue-123 121 1 months DATE issue-123 122 1 4 CARDINAL issue-123 122 2 132 CARDINAL issue-123 123 1 2 CARDINAL issue-123 123 2 3 CARDINAL issue-123 123 3 60% PERCENT issue-123 123 4 20%-80% PERCENT issue-123 125 1 100% PERCENT issue-123 126 1 7 CARDINAL issue-123 129 1 100% PERCENT issue-123 130 1 100% PERCENT issue-123 131 1 a. volume- PERSON issue-123 132 1 7 CARDINAL issue-123 132 2 6 CARDINAL issue-123 133 1 three CARDINAL issue-123 133 2 cppi ORG issue-123 134 1 2009-2010 DATE issue-123 134 2 cppi ORG issue-123 134 3 2011-2015 DATE issue-123 135 1 sharpe PERSON issue-123 135 2 cppi ORG issue-123 136 1 zero CARDINAL issue-123 137 1 1,000,000 MONEY issue-123 138 1 100,000 MONEY issue-123 138 2 monthly DATE issue-123 141 1 about 18 months DATE issue-123 143 1 longer than 36 months DATE issue-123 143 2 95% PERCENT issue-123 143 3 cppi ORG issue-123 144 1 cppi ORG issue-123 145 1 a.f. GPE issue-123 145 2 1992 DATE issue-123 147 1 16 CARDINAL issue-123 147 2 3-4 DATE issue-123 147 3 403–426 CARDINAL issue-123 148 1 blanchett PERSON issue-123 148 2 d.m. GPE issue-123 148 3 2011 DATE issue-123 151 1 24 CARDINAL issue-123 151 2 2 CARDINAL issue-123 151 3 54–61 CARDINAL issue-123 152 1 leibowitz ORG issue-123 152 2 m.l. GPE issue-123 152 3 bova, a. ( ORG issue-123 152 4 2011 DATE issue-123 154 1 37 CARDINAL issue-123 154 2 2 CARDINAL issue-123 154 3 60–71 CARDINAL issue-123 155 1 perold PERSON issue-123 155 2 a.f. GPE issue-123 155 3 sharpe PERSON issue-123 155 4 w.f. PERSON issue-123 155 5 1988 DATE issue-123 156 1 ana-lyst journal ORG issue-123 156 2 44 CARDINAL issue-123 156 3 1 CARDINAL issue-123 156 4 16–27 CARDINAL issue-123 157 1 baltic journal of economic ORG issue-123 157 2 133 CARDINAL issue-123 158 1 2 CARDINAL issue-123 158 2 3 CARDINAL issue-123 158 3 2016 CARDINAL issue-123 158 4 перебалансировки perold-sharpe ORG issue-123 158 5 практике аннотация ORG issue-123 159 1 целью статьи PERSON issue-123 159 2 перебалансировки ORG issue-123 159 3 веса и постоянная пропорция страхования ORG issue-123 159 4 предложенных CARDINAL issue-123 159 5 и sharpe GPE issue-123 159 6 в реалистичной NORP issue-123 159 7 внимание NORP issue-123 160 1 методика PERSON issue-123 161 1 для DATE issue-123 161 2 использованы биржевые фонды PERSON issue-123 161 3 2007-2015 года DATE issue-123 162 1 с помощью ORG issue-123 162 2 400 CARDINAL issue-123 162 3 3 CARDINAL issue-123 162 4 чтобы создать репрезентативную выборку ORG issue-123 163 1 на рынке ORG issue-123 164 1 результаты NORP issue-123 164 2 cppi ORG issue-123 165 1 36 CARDINAL issue-123 165 2 месяцев PERSON issue-123 165 3 и стратегия постоянных PERSON issue-123 166 1 вопреки выводам perold PERSON issue-123 166 2 и sharpe PERSON issue-123 166 3 и ORG issue-123 166 4 той или FAC issue-123 167 1 было замечено PERSON issue-123 167 2 что после периода «бычьего ORG issue-123 167 3 рынка аллокация PERSON issue-123 167 4 в GPE issue-123 167 5 100% PERCENT issue-123 168 1 оборот активов ORG issue-123 168 2 в NORP issue-123 168 3 портфеле GPE issue-123 168 4 и DATE issue-123 168 5 для DATE issue-123 168 6 cppi ORG issue-123 168 7 постоянных ORG issue-123 169 1 также обнаружили сильную негативную PERSON issue-123 169 2 и первоначальной аллокацией в ORG issue-123 169 3 в LOC issue-123 170 1 как для DATE issue-123 170 2 постоянных ORG issue-123 170 3 весов наибольший оборот происходит при ORG issue-123 170 4 в ORG issue-123 170 5 и в GPE issue-123 170 6 50% PERCENT issue-123 172 1 показано ORG issue-123 172 2 что выбор стратегии PERSON issue-123 172 3 в NORP issue-123 173 1 вопреки распространенному мнению ORG issue-123 173 2 наше GPE issue-123 173 3 что брокерские PERSON issue-123 173 4 результаты NORP issue-123 173 5 поэтому ORG issue-123 173 6 они CARDINAL issue-123 175 1 в отличие GPE issue-123 175 2 исследований в этой области PERSON issue-123 175 3 фокусировались на аналитическом выводе FAC issue-123 175 4 и основывались GPE issue-123 175 5 выборочных статистиках PERSON issue-123 175 6 реальных ценовых данных и структуре ORG issue-123 175 7 комиссий GPE issue-123 176 1 результаты GPE issue-123 176 2 практике GPE issue-123 177 1 также ORG issue-123 177 2 затронули такие вопросы EVENT issue-123 177 3 как оборот GPE issue-123 177 4 и транзакционные PERSON issue-123 177 5 академические исследователи ORG