Portfolio insurance trading rules

Product development in portfolio insurance and dynamic hedging is moving along 2 fronts: hedging technology and risk management design. Risk management design answers the question of what should be insured. Hedging technology focuses on mathematical models of how the hedge is adjusted to meet the pa...

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Bibliographic Details
Published inThe journal of futures markets Vol. 20; no. 1; pp. 41 - 57
Main Authors Bookstaber, Richard, Langsam, Joseph A.
Format Journal Article
LanguageEnglish
Published New York John Wiley & Sons, Inc 01.01.2000
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
Wiley Periodicals Inc
Subjects
Arbitrage
Capital market
Financial economics
Hedging
Insurance
Interest rates
Investment policy
Liability
Portfolio management
Product development
Profits
Put & call options
Reserve assets
Risk
Risk management
Studies
United States > US
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Summary:Product development in portfolio insurance and dynamic hedging is moving along 2 fronts: hedging technology and risk management design. Risk management design answers the question of what should be insured. Hedging technology focuses on mathematical models of how the hedge is adjusted to meet the payoff objectives. The properties of the various portfolio insurance models are defined and analyzed. Since these models are rooted in mathematics, their true properties can be clearly and unambiguously stated. The properties discussed may appear esoteric, but will be familiar to anyone who has worked with portfolio managers in this area.
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content type line 23
ISSN:0270-7314
1096-9934
DOI:10.1002/(SICI)1096-9934(200001)20:1<41::AID-FUT5>3.0.CO;2-4