Assessing stop-loss and constant proportion portfolio insurance: The impact of transaction costs

Thomas K. Braun

No 34, Tübinger Diskussionsbeiträge from University of Tübingen, School of Business and Economics

Abstract: This paper deals with dynamic asset allocation strategies which guarantee that an investor's terminal wealth will not fall short of a predetermined amount of money. It focuses on two strategies which do not require any information other than the current market price of the involved risky asset. the key objective is to support decisions on the basis of theoretical probability distributions.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:tuedps:34

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