Optimal static allocation decisions in the presence of portfolio insurance
Şimşek, Koray Deniz
Simsek, Koray Deniz
- Publisher: Journal of Investment Management
HG Finance | HG176.6 Financial engineering
The focus of this paper is to determine what fraction a myopic risk-averse investor should allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and equity risk premium. Our co...