Portfolio Insurance
A Guide to Dynamic Hedging
1st Edition
Published on 16. March 1988
Book
Hardback
322 pages
978-0-471-85849-2 (ISBN)
Description
Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.
More details
Edition
1., Auflage
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
College/higher education
Professional and scholarly
Illustrations
Ill.
Dimensions
Height: 24 cm
Width: 17 cm
Thickness: 3.5 cm
Weight
680 gr
ISBN-13
978-0-471-85849-2 (9780471858492)
Schweitzer Classification
Content
BASICS.
The Evolution of Portfolio Insurance (H. Leland & M. Rubinstein).
Alternative Paths to Portfolio Insurance (M. Rubinstein).
Patterns of Reward for Portfolio Insurance (R. Clarke & R. Arnott).
USES.
How to Beat the S&P 500 (Without Losing Sleep) (R. Ferguson).
Insuring International Portfolios (B. Pullman).
The Best-Return Strategy (O. Vasicek).
METHODS.
Structuring a Portfolio Insurance Program ( S. Somes).
The Many Dimensions of Risk (W. Wagner).
Stock Index and Financial Futures (L. Martin).
Listed Stock Index Options (S. Abramson, et al.).
Integrating Listed Stock Index Options (A. Harmstone-Rakowski & R. Saylor).
Estimating Volatility (J. Evnine).
The Insurance Company Guarantee (R. Tate).
Constant Horizon Portfolio Insurance (R. Clancy, et al.).
ROOTS.
The Intellectual Origins of Portfolio Insurance (M. Granito).
Individual Investment and Consumption under Uncertainty (F. Black).
The Pricing of Options and Corporate Liabilities (F. Black & M. Scholes).
Option Pricing: A Simplified Approach (J. Cox, S. Ross & M. Rubenstein).
Who Should Buy Portfolio Insurance?
(H. Leland).
Replicating Options with Positions in Stocks and Cash (H. Leland & M. Rubinstein)
The Evolution of Portfolio Insurance (H. Leland & M. Rubinstein).
Alternative Paths to Portfolio Insurance (M. Rubinstein).
Patterns of Reward for Portfolio Insurance (R. Clarke & R. Arnott).
USES.
How to Beat the S&P 500 (Without Losing Sleep) (R. Ferguson).
Insuring International Portfolios (B. Pullman).
The Best-Return Strategy (O. Vasicek).
METHODS.
Structuring a Portfolio Insurance Program ( S. Somes).
The Many Dimensions of Risk (W. Wagner).
Stock Index and Financial Futures (L. Martin).
Listed Stock Index Options (S. Abramson, et al.).
Integrating Listed Stock Index Options (A. Harmstone-Rakowski & R. Saylor).
Estimating Volatility (J. Evnine).
The Insurance Company Guarantee (R. Tate).
Constant Horizon Portfolio Insurance (R. Clancy, et al.).
ROOTS.
The Intellectual Origins of Portfolio Insurance (M. Granito).
Individual Investment and Consumption under Uncertainty (F. Black).
The Pricing of Options and Corporate Liabilities (F. Black & M. Scholes).
Option Pricing: A Simplified Approach (J. Cox, S. Ross & M. Rubenstein).
Who Should Buy Portfolio Insurance?
(H. Leland).
Replicating Options with Positions in Stocks and Cash (H. Leland & M. Rubinstein)