Authors: M. Khoshnevisan, Florentin Smarandache, Sukanto Bhattacharya
In this paper we take a look at a simple portfolio insurance strategy using a protective put and computationally derive the investor’s governing utility structures underlying such a strategy under alternative market scenarios. Investor utility is deemed to increase with an increase in the excess equity generated by the portfolio insurance strategy over a simple investment strategy without any insurance.
Comments: 28 Pages.
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[v1] 2016-09-13 04:23:28
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