PERFORMANCE OF PORTFOLIO INSURANCE STRATEGIES

被引：13

作者：

ZHU, Y ^{[1
]}

KAVEE, RC ^{[1
]}

机构：

[1] MERRILL LYNCH CAPITAL MARKETS,STRUCTURED INVESTMENT GRP,NEW YORK,NY 10080

来源：

关键词：

D O I：

10.3905/jpm.1988.409161

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：48 / 54

页数：7

共 12 条

[1]

[Anonymous], J PORTFOLIO MANAGE, V41, P48

[2] ON THE OPTIMALITY OF PORTFOLIO INSURANCE [J].

BENNINGA, S ;

BLUME, M .

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[4]

ETZIONI ES, 1986, J PORTFOLIO MANA FAL, P59

[5]

FAMA EF, 1986, NOV P SEM AN SEC PRI

[6]

Garcia C. B., 1987, FINANCIAL ANAL J, P44

[7]

Leland, 1981, FINANCIAL ANAL J, V37, P63, DOI DOI 10.2469/FAJ.V37.N4.63

[8]

LELAND HE, 1985, J FINANCE, V60, P1283

[9] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183

MERTON, RC .