Portfolio insurance: A simulation under different market conditions (Q908642): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/0167-6687(90)90011-2 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Latest revision as of 13:18, 20 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio insurance: A simulation under different market conditions |
scientific article |
Statements
Portfolio insurance: A simulation under different market conditions (English)
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1990
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In recent years, considerable interest has arisen over the methods and effects of equity portfolio insurance. The present paper outlines a simple method for implementing portfolio insurance and then reports the results of Monte Carlo simulations based on recent experience in the Australian equities market.
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option
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path dependency
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returns
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portfolio insurance
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