Portfolio Insurance in Complete Markets: A Note

Sanford Grossman and Jean-Luc Vila

The Journal of Business, 1989, vol. 62, issue 4, 473-76

Abstract: This note presents an elementary derivation of the optimal investment strategy of an investor who wants to assure that his investment in risky assets does not lead his wealth to fall below a predetermined floor. Copyright 1989 by the University of Chicago.

Date: 1989
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Working Paper: PORTFOLIO INSURANCE IN COMPLETE MARKETS: A NOTE (1988)
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