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Portfolio Insurance in Complete Markets: A Note

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Author Info
Grossman, Sanford J
Vila, Jean-Luc

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Abstract

This note presents an elementary derivation of the optimal investment strategy of an investor who wants to assure that his investment in risky assets does not lead his wealth to fall below a predetermined floor. Copyright 1989 by the University of Chicago.

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File URL: http://www.jstor.org/fcgi-bin/jstor/listjournal.fcg/00219398/.61-.67
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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 62 (1989)
Issue (Month): 4 (October)
Pages: 473-76
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Handle: RePEc:ucp:jnlbus:v:62:y:1989:i:4:p:473-76

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Postal: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
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  1. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  3. Roland Gillet & Robert Goffin & Isabelle Nagot & Ariane Szafarz, 2006. "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB 06-008.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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  4. Pradipkumar Ramanlal & Steven Mann, 1998. "Portfolio Insurance Strategies when Hedging Affects Share Prices," Journal of Financial Services Research, Springer, vol. 13(1), pages 23-35, February. [Downloadable!] (restricted)
  5. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July. [Downloadable!] (restricted)
  6. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 363-386, December. [Downloadable!] (restricted)
  7. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001. "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers 01-069/2, Tinbergen Institute. [Downloadable!]
  8. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Hedging with Derivatives in Incomplete Markets," Cowles Foundation Discussion Papers 1126R, Cowles Foundation, Yale University. [Downloadable!]
  9. André de Palma & Jean-Luc Prigent, 2007. "Hedging global environment risks: An option based portfolio insurance," THEMA Working Papers 2007-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  10. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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