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Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies


Chevallier, Eric; Müller, Heinz H (1994). Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies. ASTIN Bulletin, 24(01):5-18.

Abstract

The theory of risk exchange is applied on the allocation of financial risk in capital markets. It is shown how the shape of individual payoff functions depends on risk tolerance and cautiousness. For the special case where the Neumann-Morgenstern utility functions of all individual investors belong to the HARA class and have non decreasing risk tolerance it is proved that generalized versions of “portfolio insurance”, “tactical asset allocation” and “collars” are the only strategies occurring in price equilibrium.

Abstract

The theory of risk exchange is applied on the allocation of financial risk in capital markets. It is shown how the shape of individual payoff functions depends on risk tolerance and cautiousness. For the special case where the Neumann-Morgenstern utility functions of all individual investors belong to the HARA class and have non decreasing risk tolerance it is proved that generalized versions of “portfolio insurance”, “tactical asset allocation” and “collars” are the only strategies occurring in price equilibrium.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:National licences > 142-005
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Accounting
Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Language:English
Date:1 May 1994
Deposited On:12 Oct 2018 11:59
Last Modified:31 Jul 2020 02:06
Publisher:Ceuterick S.A./Peeters
ISSN:0515-0361
OA Status:Hybrid
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.2143/ast.24.1.2005077
Related URLs:https://www.swissbib.ch/Search/Results?lookfor=nationallicencecambridge102143AST2412005077 (Library Catalogue)

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