Subject: Expected utility | Teoria da utilidade esperada | Finanças comportamentais | Portfolio insurance | "Portfolio insurance" | Robo-advisor | Gestão de portfolio | Portfolio management | Behavioural finance
Degree of Doctor of Philosophy in Management.
This work focus on a specific protective investment strategy developed in the foundations of options theory. Although individual investor's risk profile has evolved to accommodate remuneration on risks taken, still averse... View more
Allais, M. (1953). Le comportement de l'homme rationnel devant le risque: Critique des postulats et axiomes de l'ecole americaine. Econometrica 21 (4), 503546.
Bertrand, P. and J.-l. Prigent (2011). Omega performance measure and portfolio insurance. Journal of Banking & Finance 35 (7), 18111823.
Bertrand, P. and J.-L. Prigent (2016). Portfolio insurance: the extreme value approach applied to the cppi method. In Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications , Chapter 18, pp. 465482. John Wiley & Sons.
Bird, R., R. Cunningham, D. Dennis, and M. Tippett (1990). Portfolio insurance: a simulation under dierent market conditions. Insurance: Mathematics and Economics 9 (1), 119.
Black, F. and R. W. Jones (1987). Simplifying portfolio insurance. The Journal of Portfolio Management 14 (1), 4851.
Black, F. and A. F. Perold (1992). Theory of constant proportion portfolio insurance. Journal of Economic Dynamics & Control 16 , 403426.
Black, F. and M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81 , 637653.
Boyle, P. P. and E. S. Schwartz (1977). Equilibrium prices of guarantees under equity-linked contracts. Journal of Risk and Insurance 44 (4), 639660.
Brady, N. F. (1988). Report of the presidential task force on market mechanisms. Technical report, US Government.
Brennan, M. J. and E. S. Schwartz (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. Journal of Business , 6393.