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Portfolio Insurance In Complete Markets: A Note

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Author Info
GROSSMAN, S.J.
VILA, J-L.

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Abstract

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Publisher Info
Paper provided by Princeton, Department of Economics - Financial Research Center in its series Papers with number 94.

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Length: 7 pages
Date of creation: 1988
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Handle: RePEc:fth:prinec:94

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Related research
Keywords: risk ; investments ; insurance ; wealth;

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  1. 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)
  2. 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)
  3. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 363-386, December. [Downloadable!] (restricted)
  4. 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!]
  5. Charalambos Aliprantis & Donald J. Brown & Werner, J., 1997. "Hedging with Derivatives in Incomplete Markets," Cowles Foundation Discussion Papers 1126R, Cowles Foundation, Yale University. [Downloadable!]
  6. 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!]
  7. 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!]
  8. 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)
  9. 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!]
    Other versions:
  10. 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!]
  11. 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)
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