Alpha insurance: A computational framework to measure hedging demands for active investors

Ashraf El-Ansary ()
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Ashraf El-Ansary: JP Morgan Asset Management

Journal of Asset Management, 2008, vol. 9, issue 5, No 2, 310-320

Abstract: Abstract The purpose of the paper is to develop the concept of portfolio insurance against active managers' stock selection risks. The insurance premium is estimated through the use of exotic options and the impact on investors' utility is analysed within a multi-moment efficient frontier framework. For illustration, the suggested methodology is applied to the Swiss Market Index and employed to estimate the hedging demands faced by investors when the portfolio choice problem is considered in a multi-period framework.

Keywords: portfolio insurance; multi-moment models; skewness; kurtosis; exotic options; hedging demands (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1057/jam.2008.30

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