Equilibrium analysis of portfolio insurance

Journal of Finance

Volumn 51, Issue 4, 1996, Pages 1379-1403

  Grossman, Sanford J ^b   Zhou, Zhongquan ^a  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040834635     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb04073.x     Document Type: Article

References (14)

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3. Black, Fischer, and Andre Perold, 1992, Theory of constant proportion portfolio insurance, Journal of Economic Dynamics and Control 16, 403-426.
4. Brennan, Michael J., and Eduardo S. Schwartz, 1988, Time-invariant portfolio insurance strategies, Journal of Finance 43, 283-299.
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8. Grossman, Sanford J., 1988, An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies, Journal of Business 61, 275-298.
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11. Harrison, J. Michael, and David Kreps, 1979, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory 20, 381-408.
12. Karpoff, Jonathan M., 1987, The relation between price changes and trading volume: A survey, Journal of Financial and Quantitative Analysis 22, 109-126.
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14. Rubinstein, Mark, 1994, Implied binomial trees, Journal of Finance 49, 771-818.