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Portfolio Efficient Insurance Buying Strategies

✍ Scribed by Neil A. Doherty

Book ID
124607513
Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
393 KB
Volume
51
Category
Article
ISSN
0022-4367

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## 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 non‐overlapping quarters