Abstract
With options,futures and other financial derivatives,the portfolio insurance strategy can hedge against and transfer risks.Risk capital is the underlying asset of financial derivatives whose prices influence the portfolio insurance strategies.Based on tool of dynamic synthetic put option, the paper has analyzed the relation between risk capital price and the value of the optimum portfolio insurance, the income value of the portfolio insurance, and cost value of the portfolio insurance, with empirical data analysis. The results give technical support to insurers.
This work is partially supported by NNSF Grant#70771096 , Science and Technology Innovation Plan of Henan Grant#2009HASTIT017, Education Departmen of Henan Grant#2010-QN-025, NPOPSS of Henan Grant#2010CJJ023 to Yuan Yao.
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Yao, Y. (2012). Analysis of the Value of Portfolio Insurance Strategy. In: Wu, Y. (eds) Software Engineering and Knowledge Engineering: Theory and Practice. Advances in Intelligent and Soft Computing, vol 114. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-03718-4_37
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DOI: https://doi.org/10.1007/978-3-642-03718-4_37
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