Portfolio insurance and synthetic securities

Hélyette Geman

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 3, 179-188

Abstract: This paper aims to look at the situation of portfolio insurance, both from a theoretical and a practical standpoint, a decade after the methodology was first introduced by Leland and Rubinstein, and a few years after management strategies based on portfolio insurance were hurt by the crash of 1987. After a general introduction in Section 1, Section 2 presents a survey of different portfolio strategies and more specifically those related to portfolio insurance. Section 3 underlines the different issues raised by the market plunge of 1987, namely the problem of volatility misspecification, and studies the possible answers offered at this point by academics and practitioners. Section 4 contains some concluding comments.

Date: 1992
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https://doi.org/10.1002/asm.3150080307

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:8:y:1992:i:3:p:179-188

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