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A Note on Risk Aversion, Prudence and Portfolio Insurance

Author

Listed:
  • Philippe Bertrand

    () (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

  • Jean-Luc Prigent

    () (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

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.
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Suggested Citation

  • Philippe Bertrand & Jean-Luc Prigent, 2010. "A Note on Risk Aversion, Prudence and Portfolio Insurance," Post-Print hal-01833054, HAL.
  • Handle: RePEc:hal:journl:hal-01833054
    DOI: 10.1057/grir.2009.8
    Note: View the original document on HAL open archive server: https://hal-amu.archives-ouvertes.fr/hal-01833054
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    Cited by:

    1. Brunette, Marielle & Jacob, Julien, 2019. "Risk aversion, prudence and temperance: An experiment in gain and loss," Research in Economics, Elsevier, vol. 73(2), pages 174-189.
    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.
    3. repec:ipg:wpaper:2014-330 is not listed on IDEAS
    4. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.

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