Portfolio insurance: A simulation under different market conditions
type: Item
instance of: scholarly article
title: Portfolio insurance: A simulation under different market conditions
zbMATH Open document ID: 0693.62084
DOI: 10.1016/0167-6687(90)90011-2
author: Ron Bird
author: Ross Cunningham
author: David Dennis
author: Mark Tippett
published in: Insurance Mathematics \& Economics
publication date: 1990-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 4135269
zbMATH Keywords: option
zbMATH Keywords: path dependency
zbMATH Keywords: returns
zbMATH Keywords: portfolio insurance
MaRDI profile type: Publication
full work available at URL: 0167-6687(90)90011-2
OpenAlex ID: W2041278614
cites work: The pricing of options and corporate liabilities
cites work: A Note on the Generation of Random Normal Deviates
cites work: Q3690029
cites work: Q3996232
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description: scientific article; zbMATH DE number 4135269