A Note on Risk Aversion, Prudence and Portfolio Insurance

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of absolute prudence to absolute risk aversion.

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Year of publication:	2010
Authors:	Bertrand, Philippe ; Prigent, Jean-Luc
Published in:	The Geneva Risk and Insurance Review. - Palgrave Macmillan, ISSN 1554-964X. - Vol. 35.2010, 1, p. 81-92
Publisher:	Palgrave Macmillan

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008498065