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
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📜 SIMILAR VOLUMES
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 non‐overlapping quarters
## 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