Minimum-cost portfolio insurance
β Scribed by C.D. Aliprantis; D.J. Brown; J. Werner
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 163 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0165-1889
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π SIMILAR VOLUMES
This paper undertakes a comparative study of portfolio insurance under a variety of modeling strategies. SpeciΓΏcally, we focus on portfolio insurers who derive utility from horizon wealth, with marginal utility tending smoothly to inΓΏnity at some pre-speciΓΏed oor. We solve for the optimal consumptio
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutio
## Abstract In this paper we investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The investigation is conducted on the Australian market, over a sample period of 59 nonβoverlapping quarters