Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

We examine portfolio asset management under safety constraints that control the probability that the portfolio return falls under a given reference level. We extend previous results of Roy (1952) and Kataoka (1963) that have been proved in a one-period setting to both multiperiod discrete-time...

This paper examines the optimality of portfolio under insurance constraints on the horizon wealth. A one period model is considered. Portfolio insurers are modelled as expected utilitymaximizing agents. The optimal portfolio is determined forquite general utility functions, stock prices and...

Existing studies of household stock trading using administrative data offer conflicting results: discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...

This paper examines some properties of optimal portfolio positioning that are linked with the risk aversion and the prudence of the investor. It introduces the ratio of the degree of absolute prudence on the absolute risk aversion. This one allows the analysis of the degree of...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial invsetment. This limits downside risk in falling markets and allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

We consider the investor choice among standardized portfolios, which are based on cash, bond and stock indexes. We present the intertemporal optimization problem with commonly used utility functions. We provide a method to determine the optimal investor's choice, based on the knowledge of...

One of the standard insurance portfolio method is the Constant Proportion Portfolio Insurance (CPPI). Using a quantile hedging approach, this paper provides an upper bound on the standard multiple m. This bound is statistically approximated by applying the extreme value theory to the study of...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets and allows some participation in rising markets. Therefore, these properties prove the importance of such portfolio strategies. The two standard...

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called quot;Constant Proportion Portfolio Insurancequot; (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method...