【求助】英文文献一篇 附件

Portfolio Insurance: A Comparison of Alternative Strategies

Harry M. Kat



Journal of Financial Engineering, Vol. 2, No. 4, December 1993
Cass Business School Research Paper

Abstract:    
In this article we use stochastic simulation methods to study the performance of a number of different dynamic portfolio insurance strategies, including option replicating portfolio insurance (ORPI), constant proportion portfolio insurance (CPPI) and a modified stop-loss (MSLI) strategy. We assume the underlying portfolio to be the S&P 500 tracking portfolio with all dividends reinvested upon receipt. The initial time to maturity is one year. Although the differences are mostly small, our results show that ORPI typically offers more attractive results than CPPI or MSLI. Adjusting the floor rule to lock in intermediate profits or adding a constant horizon feature does not lead to superior results.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=264324#

Many thanks!!!

这篇文章需要付费哦
很难办

我也找不到

这篇文章很不好下。

请问可以 找到期刊来 扫描成电子版吗？

找不到啊

没有办法，找了好久
也没找到free的

试过了，确实难办

希望你能找到

正是试了很多渠道，完全没有办法才上这里来求援的啊。。。