haku: @author Ramanlal, P. / yhteensä: 5
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| Tekijä: | Ramanlal, P. Mann, S. |
| Otsikko: | Utility maximizing portfolio insurance strategies when hedgers consider the impact of their trading on security prices |
| Lehti: | Review of Quantitative Finance and Accounting
1995 : JAN, VOL. 6:1, p. 47-62 |
| Asiasana: | INSURANCE STRATEGY SECURITY |
| Kieli: | eng |
| Tiivistelmä: | Portfolio insurance strategies can destabilize markets to such an extent that they may be counterproductive. Destabilization results when hedgers take share prices as given and follow exogenously specified price-based trading rules. The authors recognize that such trading rules may not be utility maximizing and that hedging affects share prices. Accordingly, they develop a portfolio insurance strategy where hedgers consider the impact of their trading on prices and endogenize their trading rule. |
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