A comparative study of portfolio insurance

被引：29
|
作者：
Basak, S [1 ]
机构：
[1] London Business Sch, Inst Finance & Accounting, London NW1 4SA, England
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2002年 / 26卷 / 7-8期
关键词：
portfolio insurance; pure-exchange; production; volatility; trend-chasing;
D O I：
10.1016/S0165-1889(01)00043-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper undertakes a comparative study of portfolio insurance under a variety of modeling strategies. Specifically, we focus on portfolio insurers who derive utility from horizon wealth, with marginal utility tending smoothly to infinity at some pre-specified floor. We solve for the optimal consumption-portfolio-wealth of these portfolio insurers and compare with 'constrained' portfolio insurers and 'normal agents.' General equilibrium conditions are contrasted under pure-exchange and production-type models. While the market price level is unambiguously increased under pure-exchange, under production the effect on market level is state-dependent. In both models the market volatility and risk premium are decreased by portfolio insurance. The paper also investigates the possible relationship between portfolio insurance type trading strategies and market volatility. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：1217 / 1241
页数：25
相关论文
共 50 条
  • [21] Equilibrium analysis of portfolio insurance
    Grossman, SJ
    Zhou, ZQ
    [J]. JOURNAL OF FINANCE, 1996, 51 (04): : 1379 - 1403
  • [22] WHATS WRONG WITH PORTFOLIO INSURANCE
    KRITZMAN, M
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1986, 13 (01): : 13 - 16
  • [23] REBALANCE DISCIPLINES FOR PORTFOLIO INSURANCE
    ETZIONI, ES
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1986, 13 (01): : 59 - 62
  • [24] Computational methods in portfolio insurance
    Katsikis, Vasilios N.
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2007, 189 (01) : 9 - 22
  • [25] THE PORTFOLIO OPTIMIZATION MODELS FOR INSURANCE
    L'udovit, Pinda
    Juraj, Pekar
    [J]. PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XIV), 2008, : 231 - +
  • [26] Portfolio Insurance and model uncertainty
    Nietert, B
    [J]. OR SPECTRUM, 2003, 25 (03) : 295 - 316
  • [27] PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES
    ZHU, Y
    KAVEE, RC
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1988, 14 (03): : 48 - 54
  • [28] Demand for insurance in a portfolio setting
    Meyer, J
    Ormiston, MB
    [J]. GENEVA PAPERS ON RISK AND INSURANCE THEORY, 1995, 20 (02): : 203 - 211
  • [29] DISABILITY AND LIFE-INSURANCE IN THE INDIVIDUAL INSURANCE PORTFOLIO
    COX, LA
    GUSTAVSON, SG
    STAM, A
    [J]. JOURNAL OF RISK AND INSURANCE, 1991, 58 (01) : 128 - 137
  • [30] Shaanxi Insurance Development and Comparative Study
    Zhang Dingwen
    Yan Weizhong
    Kang Jia
    Wang Zhe
    [J]. PROCEEDINGS OF 2017 CHINA INTERNATIONAL CONFERENCE ON INSURANCE AND RISK MANAGEMENT, 2017, : 163 - 179
12345