1999•RePEc: Research Papers in EconomicsRequires access

Optimal portfolio under insurance constraints on the horizon wealth

Jean‐Luc Prigent

Abstract

This paper examines the optimality of portfolio under insurance constraints on the horizon wealth. A one period model is considered. Portfolio insurers are modelled as expected utility maximizing agents. The optimal portfolio is determined for quite general utility functions, stock prices and insurance constraints. infinite-dimensional optimization

About this research paper

What this paper is about

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Portfolio insurance, Portfolio, Portfolio optimization, Replicating portfolio, Economics, Post-modern portfolio theory, Expected utility hypothesis, Merton's portfolio problem