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Theoretical Foundations of Constant-Proportion Portfolio Insurance

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  • Kingston, Geoffrey

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  • Kingston, Geoffrey, 1988. "Theoretical Foundations of Constant-Proportion Portfolio Insurance," Working Papers 116, University of Sydney, School of Economics.
  • Handle: RePEc:syd:wpaper:2123/7583
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    1. Erich Battistin & Agar Brugiavini & Enrico Rettore & Guglielmo Weber, 2009. "The Retirement Consumption Puzzle: Evidence from a Regression Discontinuity Approach," American Economic Review, American Economic Association, pages 2209-2226.
    2. Richard H. Thaler & Shlomo Benartzi, 2004. "Save More Tomorrow (TM): Using Behavioral Economics to Increase Employee Saving," Journal of Political Economy, University of Chicago Press, vol. 112(S1), pages 164-187, February.
    3. Laura Blow & Ian Walker & Yu Zhu, 2012. "Who Benefits From Child Benefit?," Economic Inquiry, Western Economic Association International, vol. 50(1), pages 153-170, January.
    4. Imbens, Guido W. & Lemieux, Thomas, 2008. "Regression discontinuity designs: A guide to practice," Journal of Econometrics, Elsevier, pages 615-635.
    5. Xavier Giné & Dean Karlan & Jonathan Zinman, 2010. "Put Your Money Where Your Butt Is: A Commitment Contract for Smoking Cessation," American Economic Journal: Applied Economics, American Economic Association, vol. 2(4), pages 213-235, October.
    6. Johannes Abeler & Felix Marklein, 2017. "Fungibility, Labels, and Consumption," Journal of the European Economic Association, European Economic Association, pages 99-127.
    7. Lee, David S. & Card, David, 2008. "Regression discontinuity inference with specification error," Journal of Econometrics, Elsevier, vol. 142(2), pages 655-674, February.
    8. repec:pri:indrel:dsp014q77fr47j/3/575 is not listed on IDEAS
    9. David S. Lee & Thomas Lemieux, 2010. "Regression Discontinuity Designs in Economics," Journal of Economic Literature, American Economic Association, pages 281-355.
    10. Paul J. Ferraro & Michael K. Price, 2013. "Using Nonpecuniary Strategies to Influence Behavior: Evidence from a Large-Scale Field Experiment," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 64-73, March.
    11. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, June.
    12. Peter Kooreman, 2000. "The Labeling Effect of a Child Benefit System," American Economic Review, American Economic Association, vol. 90(3), pages 571-583, June.
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    Cited by:

    1. Fedor Iskhakov & Susan Thorp & Hazel Bateman, 2015. "Optimal Annuity Purchases for Australian Retirees," The Economic Record, The Economic Society of Australia, vol. 91(293), pages 139-154, June.
    2. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    3. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 475-491, August.
    4. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    5. Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Kedar-Levy, Haim, 2006. "Can baby-boomers' retirement increase stock prices?," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 284-299, May.
    7. Kedar-Levy, Haim, 2014. "The potential effect of US baby-boom retirees on stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 106-121.
    8. Binh Huu Do, 2002. "Relative performance of dynamic portfolio insurance strategies: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 42(3), pages 279-296.
    9. repec:hal:journl:halshs-00389773 is not listed on IDEAS

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