Theoretical foundations of constant-proportion portfolio insurance

Geoffrey Kingston

doi:10.1016/0165-1765(89)90214-0

Theoretical foundations of constant-proportion portfolio insurance

Geoffrey Kingston^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

13 Citations (Scopus)

Abstract

Under HARA preferences and a standard opportunity set, constant-proportion portfolio insurance is optimal if and only if the investor has declining absolute and relative risk aversion. The optimal floor is the capitalized value of the investor's subsistence consumption rate if and only if the investor's family size is constant.

Original language	English
Pages (from-to)	345-347
Number of pages	3
Journal	Economics Letters
Volume	29
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(89)90214-0
Publication status	Published - 1989
Externally published	Yes

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title = "Theoretical foundations of constant-proportion portfolio insurance",

abstract = "Under HARA preferences and a standard opportunity set, constant-proportion portfolio insurance is optimal if and only if the investor has declining absolute and relative risk aversion. The optimal floor is the capitalized value of the investor's subsistence consumption rate if and only if the investor's family size is constant.",

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DO - 10.1016/0165-1765(89)90214-0

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SN - 0165-1765

VL - 29

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JO - Economics Letters

JF - Economics Letters

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Theoretical foundations of constant-proportion portfolio insurance

Abstract

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