Portfolio insurance with liquidity risk

研究成果: ジャーナルへの寄稿学術誌査読

4 被引用数 (Scopus)

抄録

This paper studies a portfolio insurance problem with liquidity risk. We consider an investor who wants to maximize the expected growth rate of wealth in a low liquid market. The investor can trade assets only at random times and his wealth must not fall below a predetermined floor. We find the optimal expected growth rate and an optimal strategy. The optimal strategy is closely related with a traditional constant proportion portfolio insurance strategy. Also we show that the same strategy maximizes the growth rate almost surely. Further we study the floor effect on the growth rate.

本文言語英語
ページ(範囲)363-386
ページ数24
ジャーナルAsia-Pacific Financial Markets
14
4
DOI
出版ステータス出版済み - 12月 2007

!!!All Science Journal Classification (ASJC) codes

  • 財務

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