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• W2023866467 abstract "A new equilibrium model of portfolio insurance is presented in order to study the volatility effects of dynamic insurance strategies. While prior research has focused on the relationship between portfolio insurance and the overall level of market volatility, this article shows that the salient feature of portfolio insurance is volatility regime switching. Regime switching is shown to be a necessary condition for portfolio insurance, which provides a new explanation for the pervasive volatility clustering effect that is found in most equity markets. The equilibrium involves a free boundary and the local time of the equilibrium price process at the free boundary plays an important role in solving the model." @default.
• W2023866467 created "2016-06-24" @default.
• W2023866467 creator A5018532565 @default.
• W2023866467 date "2006-03-29" @default.
• W2023866467 modified "2023-10-10" @default.
• W2023866467 title "PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING" @default.
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• W2023866467 doi "https://doi.org/10.1111/j.1467-9965.2006.00276.x" @default.
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