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Portfolio Insurance Strategies when Hedging Affects Share Prices

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Author Info
Pradipkumar Ramanlal
Steven Mann
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File URL: http://hdl.handle.net/10.1023/A:1007902326906
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 13 (1998)
Issue (Month): 1 (February)
Pages: 23-35
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Handle: RePEc:kap:jfsres:v:13:y:1998:i:1:p:23-35

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  1. Grossman, Sanford J & Vila, Jean-Luc, 1989. "Portfolio Insurance in Complete Markets: A Note," Journal of Business, University of Chicago Press, vol. 62(4), pages 473-76, October. [Downloadable!] (restricted)
    Other versions:
  2. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  3. Brennan, Michael J & Schwartz, Eduardo S, 1989. "Portfolio Insurance and Financial Market Equilibrium," Journal of Business, University of Chicago Press, vol. 62(4), pages 455-72, October. [Downloadable!] (restricted)
  4. Grossman, Sanford J & Zhou, Zhongquan, 1996. " Equilibrium Analysis of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 51(4), pages 1379-1403, September. [Downloadable!] (restricted)
  5. Basak, Suleyman, 1995. "A General Equilibrium Model of Portfolio Insurance," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(4), pages 1059-90. [Downloadable!] (restricted)
  6. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," Journal of Business, University of Chicago Press, vol. 61(3), pages 275-98, July. [Downloadable!] (restricted)
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  7. Ramanlal, Pradipkumar & Mann, Steven V, 1996. " Utility Maximizing Portfolio Insurance Strategies When Hedgers Consider the Impact of Their Trading on Security Prices," Review of Quantitative Finance and Accounting, Springer, vol. 6(1), pages 47-62, January.
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