𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Portfolio insurance and synthetic securities

✍ Scribed by Geman, Hélyette


Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
638 KB
Volume
8
Category
Article
ISSN
8755-0024

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Portfolio insurance trading rules
✍ Richard Bookstaber; Joseph A. Langsam 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 945 KB
Equity allocation and portfolio selectio
✍ Erik Taflin 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 179 KB

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

Do futures-based strategies enhance dyna
✍ Binh Huu Do; Robert W. Faff 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 113 KB

## 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

Individuals' uncertainty about future so
✍ Adeline Delavande; Susann Rohwedder 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 258 KB

## Abstract Little is known about the degree to which individuals are uncertain about their future Social Security benefits, how this varies within the US population, and whether this uncertainty influences financial decisions related to retirement planning. To illuminate these issues, we present e