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A Note on Risk Aversion, Prudence and Portfolio Insurance

Author

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  • Philippe Bertrand

    () (GREQAM, University Aix-Marseille II & Euromed Management, Marseille, France.)

  • Jean-Luc Prigent

    () (THEMA, University Cergy-Pontoise, 33 Bd du Port, Cergy-Pontoise 95011, France.)

Abstract

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of absolute prudence to absolute risk aversion.

Suggested Citation

  • Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 35(1), pages 81-92, June.
  • Handle: RePEc:pal:genrir:v:35:y:2010:i:1:p:81-92
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    Cited by:

    1. repec:ipg:wpaper:2014-330 is not listed on IDEAS
    2. Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.

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