TITLE

Alpha insurance: A computational framework to measure hedging demands for active investors

AUTHOR(S)
El-Ansary, Ashraf
PUB. DATE
January 2009
SOURCE
Journal of Asset Management;Jan2009, Vol. 9 Issue 5, p310
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The purpose of the paper is to develop the concept of portfolio insurance against active managers' stock selection risks. The insurance premium is estimated through the use of exotic options and the impact on investors' utility is analysed within a multi-moment efficient frontier framework. For illustration, the suggested methodology is applied to the Swiss Market Index and employed to estimate the hedging demands faced by investors when the portfolio choice problem is considered in a multi-period framework.Journal of Asset Management (2008) 9, 310–320. doi:10.1057/jam.2008.30
ACCESSION #
35753629

 

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