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L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options

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Author Info

  • Francois-Éric Racicot

    ()
    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    ()
    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

In this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we simulate another portfolio which aims to replicate a protective put. Finally, we simulate the cushion technique of Black and analyse the sensitivity of the insured portfolio to some parameters like the degree of risk aversion of the investor. We consider the limits of each of the studied strategies.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticleAssurancedeportefeuille.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp0332005.

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Length: 30 pages
Date of creation: 23 Nov 2005
Date of revision:
Handle: RePEc:pqs:wpaper:0332005

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Keywords: Financial Engineering; Portfolio Insurance; Monte Carlo simulation.;

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  1. Simon Benninga, 2000. "Financial Modeling, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262024829, December.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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