Computational Exploration of Investor Utilities Underlying a Portfolio Insurance Strategy

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dc.creatorKhoshnevisan, M.
dc.creatorSmarandache, Florentin
dc.creatorBhattacharya, Sukanto
dc.date2002-10-30
dc.date.accessioned2026-07-07T06:33:37Z
dc.date.available2026-07-07T06:33:37Z
dc.descriptionIn this paper we take a look at a simple portfolio insurance strategy using a protective put and computationally derive the investor's governing utility structures underlying such a strategy under alternative market scenarios. Investor utility is deemed to increase with an increase in the excess equity generated by the portfolio insurance strategy over a simple investment strategy without any insurance. Three alternative market scenarios (probability spaces) have been explored -- 'Down', 'Neutral' and 'Up', categorized according to whether the price of the underlying security is most likely to go down, stay unchanged or go up. The methodology used is computational, primarily based on simulation and numerical extrapolation. The Arrow-Pratt measure of risk aversion has been used to determine how the investors react towards risk under the different scenarios.
dc.description24 pages, 28 tables, 3 graphs
dc.identifierhttps://arxiv.org/abs/math/0210449
dc.identifierhttp://arxiv.org/abs/math/0210449
dc.identifierStudii si Cercetari Stiintifice, Series: Mathematics, No. 14, 179-200, 2004.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/99257
dc.subjectGeneral Mathematics
dc.subject62P20, 62Q05
dc.titleComputational Exploration of Investor Utilities Underlying a Portfolio Insurance Strategy
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