Portfolio insurance: A simulation under different market conditions (Q908642)
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scientific article; zbMATH DE number 4135269
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| English | Portfolio insurance: A simulation under different market conditions |
scientific article; zbMATH DE number 4135269 |
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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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0.88748586
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0.8787757
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0.8660227
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0.8620398
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0.8620297
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0.8594286
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0.85847235
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