publication . Preprint . Article . 2004

Portfolio Insurance Strategies by a Large Player

Aymeric Kalife;
Open Access
  • Published: 01 Dec 2004
Abstract
Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is one factor of destabilization in the financial markets, as illustrated recently by the Asian crisis, the failure of the hedge fund LTCM during the Russian crisis. So in order to assess welfare implications of portfolio insurance strategies, it would be to estimate the dynamic hedging activity in securities markets through a specific parsimonious and realistic model. In the paper, large traders hold sufficient liquid assets to meet liquidity needs of...
Subjects
free text keywords: bid-ask spread; Non linear market impact; insider trading;, jel:G12, jel:G1, jel:G21, jel:G22, Market liquidity, Hedge (finance), Business, Microeconomics, Market neutral, Hedge fund, business.industry, Portfolio, Replicating portfolio, Arbitrage, Financial economics, Portfolio insurance
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publication . Preprint . Article . 2004

Portfolio Insurance Strategies by a Large Player

Aymeric Kalife;