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A stop loss approach to portfolio insurance

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Abstract

A way to overcome errors in estimating volatility and excessive dependence on the path of the portfolio's value during the insurance period.

Suggested Citation

  • Ron Bird & Davis Dennis & Mark Tippett, 1990. "A stop loss approach to portfolio insurance," Published Paper Series 1990-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1990-1
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    Cited by:

    1. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
    2. Myroslava Kushnir, 2015. "Investment strategy to avoid losses on the ukrainian stock market," Ukrainian Journal Ekonomist, Yuriy Kovalenko, issue 11, pages 19-22, November.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Simon Loria & Toan Pham & Ah Boon Sim, 1991. "The Performance of a Stock Index Futures Based Portfolio Insurance Scheme: Australian Evidence," Working Paper Series 5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.
    6. Daniel W. Richards & Janette Rutterford & Devendra Kodwani & Mark Fenton-O'Creevy, 2017. "Stock market investors' use of stop losses and the disposition effect," The European Journal of Finance, Taylor & Francis Journals, vol. 23(2), pages 130-152, January.
    7. Ariful Hoque & Robin Kämmer & Frieder Meyer-Bullerdiek, 2018. "Portfolio insurance strategies in a low interest rate environment: A simulation based study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-2.

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