The Performance of a Stock Index Futures Based Portfolio Insurance Scheme: Australian Evidence
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Cornell, Bradford & French, Kenneth R, 1983. " Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-694, June.
- John Bowers & Garry Twite, 1985. "Arbitrage Opportunities in The Australian Share Price Index Futures Contract," Australian Journal of Management, Australian School of Business, vol. 10(2), pages 1-29, December.
- Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark, 1990. "Portfolio insurance: a simulation under different market conditions," Insurance: Mathematics and Economics, Elsevier, vol. 9(1), pages 1-19, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Binh Huu Do & Robert W. Faff, 2004. "Do futures‐based strategies enhance dynamic portfolio insurance?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(6), pages 591-608, June.
- 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.
- Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
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