Title: Put Option Portfolio Insurance vs. Asset Allocation
Abstract: The purpose of this study is to develop a model that uses index put options to replace fixed income securities in an individual investor's portfolio. Such a portfolio would allow the investor to reduce downside risk, consistent with the rationale for the fixed income allocation, while also allowing the investor to participate to a greater degree, in any potential gains from a market upturn. Results indicate that in order for the model to be superior to a stock/bond portfolio, substantial movement in stock returns is necessary. Implications of results are discussed.
Publication Year: 2009
Publication Date: 2009-06-01
Language: en
Type: article
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