ON THE OPTIMALITY OF PORTFOLIO INSURANCE

被引：34

|

作者：

BENNINGA, S ^{[1
]}

BLUME, M ^{[1
]}

机构：

[1] UNIV PENN,WHARTON SCH,DEPT FINANCE,PHILADELPHIA,PA 19104

来源：

JOURNAL OF FINANCE | 1985年 / 40卷 / 05期

关键词：

D O I：

10.2307/2328116

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：1341 / 1352

页数：12

相关论文

共 50 条

[1] Equity portfolio insurance against a benchmark: Setting, replication and optimality
Bahaji, Hamza
[J]. ECONOMIC MODELLING, 2014, 40 : 382 - 391
[2] Portfolio insurance
不详
[J]. FORBES, 2001, 167 (13): : 204 - 204
[3] Leverage Aversion and Portfolio Optimality
Jacobs, Bruce I.
Levy, Kenneth N.
[J]. FINANCIAL ANALYSTS JOURNAL, 2012, 68 (05) : 89 - 94
[4] OPTIMALITY AND ROBUSTNESS OF A MINIMAX PORTFOLIO
SENGUPTA, JK
[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1987, 18 (12) : 2321 - 2335
[5] OPTIMAL PORTFOLIO INSURANCE
BRENAN, MJ
SOLANKI, R
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (03) : 279 - 300
[6] SIMPLIFYING PORTFOLIO INSURANCE
BLACK, F
JONES, R
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1987, 14 (01): : 48 - 51
[7] THE MECHANICS OF PORTFOLIO INSURANCE
OBRIEN, TJ
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1988, 14 (03): : 40 - 47
[8] Cheap portfolio insurance
Brimelow, P
Hulbert, M
[J]. FORBES, 1998, 162 (02): : 220 - +
[9] IS PORTFOLIO INSURANCE DEAD
BERNSTEIN, PL
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1988, 14 (04): : 1 - 1
[10] Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage
Jacobs, Bruce I.
Levy, Kenneth N.
[J]. ANNALS OF OPERATIONS RESEARCH, 2024,

← 1 2 3 4 5 →