SCOPUS 정보 검색 플랫폼 - 논문 보기

메뉴 건너뛰기

Journal of Economic Dynamics and Control

Volumn 26, Issue 7-8, 2002, Pages 1217-1241

A comparative study of portfolio insurance

(1) Basak, Suleyman a

a LONDON BUSINESS SCHOOL (United Kingdom)

Author keywords

Portfolio insurance; Production; Pure exchange; Trend chasing; Volatility

Indexed keywords

EID: 0036197013 PISSN: 01651889 EISSN: None Source Type: Journal
DOI: 10.1016/S0165-1889(01)00043-4 Document Type: Article

Times cited : (43)

References (30)

1
- 21844504763
- A general equilibrium model of portfolio insurance
- (1995) Review of Financial Studies , vol.8 , pp. 1059-1090
- Basak, S.¹

2
- 0035592442
- Value-at-risk-based risk management: Optimal policies and asset prices
- (2001) Review of Financial Studies , vol.14 , pp. 371-405
- Basak, S.¹ Shapiro, A.²

3
- 0002421286
- Simplifying portfolio insurance
- (1987) Journal of Portfolio Management , vol.14 , pp. 48-51
- Black, F.¹ Jones, R.²

4
- 38249013309
- Theory of constant proportion portfolio insurance
- (1992) Journal of Economic Dynamics and Control , vol.16 , pp. 403-427
- Black, F.¹ Perold, A.²

5
- 0008677431
- 1988 Report of the Presidential Task Force on Market Mechanisms. US Government Printing Office
- (1998)
- Brady, N.¹

6
- 0001024250
- Portfolio insurance and financial market equilibrium
- (1989) Journal of Business , vol.62 , pp. 455-472
- Brennan, M.J.¹ Schwartz, E.S.²

7
- 0003105445
- Asset prices in a production economy
- McCall, J.J. (Ed.), University of Chicago Press, Chicago, Illinois
- (1982) The Economics of Information and Uncertainty
- Brock, W.A.¹

8
- 84935322716
- Habit formation: A resolution of the equity-premium puzzle
- (1990) Journal of Political Economy , vol.98 , pp. 519-543
- Constantinides, G.¹

9
- 0002720622
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- (1989) Journal of Economic Theory , vol.49 , pp. 33-83
- Cox, J.C.¹ Huang, C.F.²

10
- 0000334217
- An intertemporal general equilibrium model of asset prices
- (1985) Econometrica , vol.53 , pp. 363-384
- Cox, J.C.¹ Ingersoll, J.E.² Ross, S.A.³

11
- 84959794207
- Comparative dynamics of an equilibrium intertemporal asset pricing model
- (1984) Review of Economic Studies , vol.51 , pp. 491-508
- Donaldson, J.B.¹ Mehra, R.²

12
- 84993858107
- The impact of large portfolio insurers on asset prices
- (1993) Journal of Finance , vol.48 , pp. 1943-1953
- Donaldson, R.G.¹ Uhlig, H.²

13
- 0001702275
- Stochastic equilibria: Existence, spanning number, and the no expected financial gain from trade hypothesis
- (1986) Econometrica , vol.54 , pp. 1161-1383
- Duffie, D.¹

14
- 0001577622
- Implementing arrow-debreu equilibria by continuous trading of a few long-lived securities
- (1985) Econometrica , vol.53 , pp. 1337-1356
- Duffie, D.¹ Huang, C.F.²

15
- 0001552835
- The consumption-based capital asset pricing model
- (1989) Econometrica , vol.57 , pp. 1279-1297
- Duffie, D.¹ Zame, W.²

16
- 0001272649
- An analysis of the implications for stock and futures price volatility of program trading and dynamic trading strategies
- (1988) Journal of Business , vol.60 , pp. 275-298
- Grossman, S.J.¹

17
- 0008671004
- Portfolio insurance in complete markets
- (1989) Journal of Business , vol.62 , pp. 473-476
- Grossman, S.J.¹ Villa, J.²

18
- 0040834635
- Equilibrium analysis of portfolio insurance
- (1996) Journal of Finance , vol.51 , pp. 1379-1403
- Grossman, S.J.¹ Zhou, J.²

19
- 38649141305
- Martingales and multiperiod securities markets
- (1979) Journal of Economic Theory , vol.20 , pp. 381-408
- Harrison, J.M.¹ Kreps, D.M.²

20
- 41649091143
- Martingales and stochastic integrals in the theory of continuous trading
- (1981) Stochastic Processes and Their Applications , vol.11 , pp. 215-260
- Harrison, M.¹ Pliska, S.²

21
- 0000211509
- An intertemporal general equilibrium asset pricing model: The case of diffusion information
- (1987) Econometrica , vol.55 , pp. 117-142
- Huang, C.F.¹

22
- 0023455980
- Optimal portfolio and consumption decisions for a small investor on a finite horizon
- (1987) SIAM Journal of Control and Optimization , vol.25 , pp. 1557-1586
- Karatzas, I.¹ Lehoczky, J.P.² Shreve, S.E.³

23
- 0002237784
- Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model
- (1990) Mathematics of Operations Research , vol.15 , pp. 80-128
- Karatzas, I.¹ Lehoczky, J.P.² Shreve, S.E.³

24
- 0000150312
- Asset prices in an exchange economy
- (1978) Econometrica , vol.46 , pp. 1429-1445
- Lucas, R.¹

25
- 0008671005
- Portfolio Insurance: A Guide to Dynamic Hedging. Wiley, New York
- (1988)
- Luskin, D.L.¹

26
- 0028560106
- Risk-taking, global diversification, and growth
- (1994) American Economic Review , vol.84 , pp. 1310-1329
- Obstfeld, M.¹

27
- 0000058841
- Recursive competitive equilibrium: The case of homogeneous households
- (1980) Econometrica , vol.48 , pp. 1365-1379
- Prescott, E.C.¹ Mehra, R.²

28
- 0001048997
- An aggregation theorem for securities markets
- (1974) Journal of Financial Economics , vol.1 , pp. 225-244
- Rubinstein, M.¹

29
- 0001790749
- Replicating options with positions in stock and cash
- (1981) Financial Analysts Journal , vol.37 , pp. 63-72
- Rubinstein, M.¹ Leland, H.E.²

30
- 84960614899
- A model of intertemporal asset prices under asymmetric information
- (1993) Review of Economic Studies , vol.60 , pp. 249-282
- Wang, J.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.