L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options

François-Éric Racicot () and Raymond Théoret ()
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Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)

No UQO-DSA-wp0332005, RePAd Working Paper Series from Département des sciences administratives, UQO

Abstract: In this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we simulate another portfolio which aims to replicate a protective put. Finally, we simulate the cushion technique of Black and analyse the sensitivity of the insured portfolio to some parameters like the degree of risk aversion of the investor. We consider the limits of each of the studied strategies.

Keywords: Financial Engineering; Portfolio Insurance; Monte Carlo simulation. (search for similar items in EconPapers)
JEL-codes: G12 G13 G33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cmp, nep-fin, nep-fmk and nep-ias
Date: 2005-11-23
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http://www.repad.org/ca/qc/uq/uqo/dsa/ArticleAssurancedeportefeuille.pdf First version, 2005 (application/pdf)

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