Equilibrium of financial derivative markets under portfolio insurance constraints
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- 作者：Philippe Bertranda ; b ; 1 ; philippe.bertrand@univ-amu.fr" class="auth_mail" title="E-mail the corresponding author ; Jean-luc Prigentc ; jean-luc.prigent@u-cergy.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：Optimal positioning ; Financial derivatives ; Portfolio insurance ; Financial equilibrium
- 刊名：Economic Modelling
- 出版年：2016
- 出版时间：January 2016
- 年：2016
- 卷：52
- 期：part_PA
- 页码：278-291
- 全文大小：902 K
文摘
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This paper examines the equilibrium of financial portfolios under insurance constraints on the terminal wealth.
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The financial equilibrium is determined for quite general utility functions and insurance constraints
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The results prove that derivative assets have to be introduced in the portfolio to maximize the expected utilities of investors.