A Note on Risk Aversion, Prudence and Portfolio Insurance

Philippe Bertrand and Jean-Luc Prigent

The Geneva Risk and Insurance Review, 2010, vol. 35, issue 1, 92 pages

Abstract: This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of absolute prudence to absolute risk aversion.

Date: 2010
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