Francois-Éric Racicot () (Département des sciences administratives, Université du Québec (Outaouais) et LRSP) Raymond Théoret () (Département de stratégie des affaires, Université du Québec (Montréal))
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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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Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number
UQO-DSA-wp0332005.
Length: 30 pages Date of creation: 23 Nov 2005 Date of revision: Handle: RePEc:pqs:wpaper:0332005
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