Portfolio insurance trading rules
β Scribed by Richard Bookstaber; Joseph A. Langsam
- Publisher
- John Wiley and Sons
- Year
- 1988
- Tongue
- English
- Weight
- 945 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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