Portfolio Insurance: A Guide to Dynamic Hedging
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品牌: Donald Luskin
基本信息出版社:Wiley; 1 (1988年3月16日)平装:322页正文语种:英语ISBN:0471858498条形码:9780471858492商品尺寸:17 x 3.5 x 24 cm商品重量:667 gASIN:0471858498商品描述内容简介Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.目录BASICS.
The Evolution of Portfolio Insurance (H. Leland & M. Rubinstein).
Alternative Paths to Portfolio Insurance (M. Rubinstein).
Patterns of Reward for Portfolio Insurance (R. Clarke & R. Arnott).
USES.
How to Beat the S&P 500 (Without Losing Sleep) (R. Ferguson).
Insuring International Portfolios (B. Pullman).
The Best-Return Strategy (O. Vasicek).
METHODS.
Structuring a Portfolio Insurance Program ( S. Somes).
The Many Dimensions of Risk (W. Wagner).
Stock Index and Financial Futures (L. Martin).
Listed Stock Index Options (S. Abramson, et al.).
Integrating Listed Stock Index Options (A. Harmstone-Rakowski & R. Saylor).
Estimating Volatility (J. Evnine).
The Insurance Company Guarantee (R. Tate).
Constant Horizon Portfolio Insurance (R. Clancy, et al.).
ROOTS.
The Intellectual Origins of Portfolio Insurance (M. Granito).
Individual Investment and Consumption under Uncertainty (F. Black).
The Pricing of Options and Corporate Liabilities (F. Black & M. Scholes).
Option Pricing: A Simplified Approach (J. Cox, S. Ross & M. Rubenstein).
Who Should Buy Portfolio Insurance?
(H. Leland).
Replicating Options with Positions in Stocks and Cash (H. Leland & M. Rubinstein)