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- Title
Time-Invariant Portfolio Insurance Strategies.
- Authors
BRENNAN, MICHAEL J.; SCHWARTZ, EDUARDO S.
- Abstract
This paper characterizes the complete class of time-invariant portfolio insurance strategies and derives the corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio. Time-invariant strategies are shown to correspond to the long-run policies for a broad class of portfolio insurance payoff functions.
- Subjects
INVESTMENT guaranty insurance; PORTFOLIO management (Investments); INVESTMENT policy; OPTIONS (Finance); INVESTMENTS; WEALTH; BRIBERY; FINANCE; CREDIT insurance; FINANCIAL management; INVESTMENT analysis; FINANCIAL performance
- Publication
Journal of Finance (Wiley-Blackwell), 1988, Vol 43, Issue 2, p283
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1988.tb03939.x