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- W2160687110 abstract "This paper undertakes a comparative study of portfolio insurance under a variety of modelling strategies. Specifically, we focus on portfolio insurers who drive utility from horizon wealth, with marginal utility tending smoothly to infinity at some pre-specified floor. We solve for the optimal consumption-portfolio-wealth of these portfolio insurers and compare with constrained portfolio insurers and normal agents. General equilibrium conditions are contrasted under pure-exchange and production-type models. While the market price level is unambiguously increased under pure-exchange, under production the effect on market level is state-dependent. In both models the market volatility and risk premium are decreased by portfolio insurance The paper also investigates the possible relationship between portfolio insurance type trading strategies and market volatility." @default.
- W2160687110 created "2016-06-24" @default.
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- W2160687110 date "2001-01-01" @default.
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- W2160687110 title "A Comparative Study of Portfolio Insurance" @default.
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- W2160687110 doi "https://doi.org/10.2139/ssrn.292221" @default.
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