Equity portfolio insurance against a benchmark: Setting, replication and optimality
Year of publication: |
2014
|
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Authors: | Bahaji, Hamza |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 40.2014, C, p. 382-391
|
Publisher: |
Elsevier |
Subject: | Portfolio insurance | Equity benchmark | Perpetual exchange options | Utility maximization |
Type of publication: | Article |
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Classification: | C60 - Mathematical Methods and Programming. General ; G11 - Portfolio Choice ; G24 - Investment Banking; Venture Capital; Brokerage ; L10 - Market Structure, Firm Strategy, and Market Performance. General |
Source: |
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Equity portfolio insurance against a benchmark: Setting, replication and optimality
Bahaji, Hamza, (2014)
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Equity portfolio insurance against a benchmark : setting, replication and optimality
Bahaji, Hamza, (2014)
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