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Optimal Portfolio Insurance

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Author Info
Brennan, M.J.
Solanki, R.
Abstract

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Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 16 (1981)
Issue (Month): 03 (September)
Pages: 279-300
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:16:y:1981:i:03:p:279-300_00

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  1. 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!]
  2. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  3. Arjen Siegmann & André Lucas, 2002. "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers 02-046/2, Tinbergen Institute. [Downloadable!]
  4. Jens Carsten Jackwerth, 1998. "Recovering Risk Aversion from Option Prices and Realized Returns," Finance 9803002, EconWPA. [Downloadable!]
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  5. Hara, C. & Christoph Kuzmics, 2004. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics 0452, Faculty of Economics, University of Cambridge. [Downloadable!]
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  6. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers 621, Kyoto University, Institute of Economic Research. [Downloadable!]
  7. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, University of Venice. [Downloadable!]
  8. Zdravetz Lazarov, 2004. "Distribution of Trading Activity across Strike Prices in the DAX Index Options Market," Bonn Econ Discussion Papers bgse7_2004, University of Bonn, Germany. [Downloadable!]
  9. Chiaki Hara & James Huang & Christoph Kuzmics, 2008. "Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem," KIER Working Papers 654, Kyoto University, Institute of Economic Research. [Downloadable!]
    Other versions:
  10. Dennis R. Capozza & George W. Gau, 1984. "Mortgage Rate Insurance and the Canadian Mortgage Market," Canadian Public Policy, University of Toronto Press, vol. 10(3), pages 296-304, September. [Downloadable!] (restricted)
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This page was last updated on 2009-11-23.


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