Time-Invariant Portfolio Insurance Strategies
This paper characterizes the complete class of time-invariant portfolio insurance strategies and derives the corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio. Time-invariant strategies are shown to correspond to the long-run po licies for a broad class of portfolio insurance payoff functions. Copyright 1988 by American Finance Association.
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Volume (Year): 43 (1988)
Issue (Month): 2 (June)
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