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Special Report on

Portfolio insurance strategies

portfolio insurance strategies special research report Photo by car-insurance-auto-insurance.org
Classic portfolio insurance theory analyzes combinations of one risky asset and one risk-free asset under a certain rule of trading. Due to a specified investment horizon an investor has the choice between static strategies on the one hand and dynamic insurance strategies on the other hand. Motivated by the downturn movement of the asset-backed and mortgage-backed securities markets and the rise of credit spreads during the subprime crisis starting in 2007, the authors focus on constant mix and stop-loss strategies as well as on constant-proportion portfolio insurance and its derivative time-invariant proportion portfolio, which ...
REVIEWS AND OPINIONS
The Unlearned Lesson of the 1987 Crash » New Deal 2.0
Henry Liu revisits the stock market crash of 1987 to dispel free market fundamentalism and the neo-conservative lust for deregulation. In the 1980s, to counter stagflation in the US economy, the Fed under Paul Volcker , (August 6, 1979 - August 11, 1987), fearless slayer of the inflation dragon, kept the discount rate in the double digit range from July 20, 1979 to August 27 1982, peaking at 14% on May 4, 1981. From August 1982 to its peak in August 1987, the Dow Jones Industrial Average ( DJIA ) grew from 776 to 2,722. The rise in market indices for the 19 largest markets in the world averaged 296% during this period. Volcker, ... market research, surveys and trends
Amazon's The Mis Behavior of Markets: A Fractal View of Risk, Ruin ...
Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don’t realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like. The result is a revolutionary reevaluation of the standard tools and models of modern financial theory. Markets, we learn, are far riskier than we have wanted ... market research, surveys and trends

SURVEY RESULTS FOR
PORTFOLIO INSURANCE STRATEGIES

Stocks, Bonds, Options, Futures, And Portfolio Insurance: A Rose ...
Trading volume and open interest in options and futures contracts on stock indices, equities, and interest rate instruments traded on world exchanges have experienced remarkable growth. From 1986 through 1991, the open interest in exchange-traded derivatives grew by 36 percent per year, reaching $3.5 billion at the end of 1991. The notional principal of financial derivatives traded in the even larger over-the-counter market (mostly on interest rates, in the form of swaps, forward agreements, and option-like caps, collars, and floors) grew at an annual rate of 40 percent.(1) This rapid growth has been accompanied by controversy ... industry trends, business articles and survey research
Derivatives Strategy - August'2000: 2000 Hall of Fame Roundtable ...
cofounder and and principal of Jacobs Levy Equity Management, is the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes Peter Vinella , senior consultant at Peter Vinella & Associates William Brodsky , chairman and CEO of the Chicago Board Options Exchange Mark Rubinstein , Paul Stephens professor of applied investment analysis at the University of California at Berkeley's Haas School of Business Roger Lowenstein , a former reporter and columnist at the Wall Street Journal, is the author of When Genius Failed: The Rise and Fall of Long-Term Capital Management (to be ... industry trends, business articles and survey research
RELATED NEWS
Stonegate Bank 2010 Second Quarter Earnings Release
$578 million in assets -- 18 straight quarters of profitability -- Opened new Private Banking Office in Miami -- Net income of $860,000 for the second quarter of 2010 -- Tier 1 capital ratio of 21.2% at June 30, 2010 -- 3.90% net interest margin Net Income: Stonegate Bank reported net income of $859,913 for the second quarter of 2010 or 11.3 cents per share as compared to net income of $135,067 or 3.4 cents per share in the second quarter of 2009. This represents a 537% increase from the same period in 2009. The bank earned $1,689,529 or 22 cents a share in the first six months of 2010 as compared to $367,007 ... market trends, news research and surveys resources
Washington Federal Reports Quarterly Net Income of $12.7 Million
parent company of Washington Federal, today announced earnings of $12,668,000, or $.11 per diluted share, for the quarter ended June 30, 2010, compared to $2,500,000, or $.03 per diluted share, for the same period one year ago, a 406% increase. For the nine months ended June 30, 2010, earnings were $102,690,000, or $.91 per diluted share, compared to $31,079,000, or $.35 per diluted share, for the same period one year ago. The significant increase in year to date earnings was due primarily to the one-time after tax gain of $54.8 million related to the FDIC-assisted acquisition in the second fiscal quarter. The ... market trends, news research and surveys resources

INFORMATION RESOURCES

Expected Performance and Risks of Various Portfolio Insurance ...
referred to as “generalised portfolio insurance strategies” by Brennan and. Schwartz 123; each such strategy corresponds to a given linal pay-off. This ... technology research, surveys study and trend statistics
II. Investments Results & Prospective Strategies - FDIC: Chief ...
The amortized cost (book value) of the DIF investment portfolio increased by $32.7 billion during 2009, or by 123 percent, from $26.6 billion on December 31, 2008, to $59.3 billion on December 31, 2009. Similarly, the DIF portfolio’s market value increased by $30.6 billion, or by 106 percent, from $28.8 billion on December 31, 2008, to $59.4 billion on December 31, 2009. During the year, deposit insurance assessment collections—including the $45.7 billion in prepaid assessment ... technology research, surveys study and trend statistics
ON THE OPTIMALITY OF PORTFOLIO INSURANCE by Simon Benninga and ...
tor would utilize portfolio insurance as part of an overall strategy. .... investor who chooses the two-date portfolio insurance strategy will vary over ...
REAL TIME
PORTFOLIO INSURANCE STRATEGIES
QUESTIONS AND ANSWERS
What was the cause of Black Monday on Wall Street in 1987?
The most popular explanation for the 1987 crash was selling by program traders.[6] U.S. Congressman Edward J. Markey, who had been warning about the possibility of a crash, stated that "Program trading was the principal cause."[7] In program trading, computers perform rapid stock executions based on external inputs, such as the price of related securities. Common strategies implemented by program trading involve an attempt to engage in arbitrage and portfolio insurance strategies. The trader Paul Tudor Jones predicted and profited from the crash, attributing it to portfolio insurance derivatives which were "an ...
Several potential causes for the decline include: program trading ...
The most popular explanation for the 1987 crash was selling by program traders.[6] U.S. Congressman Edward J. Markey, who had been warning about the possibility of a crash, stated that "Program trading was the principal cause."[7] In program trading, computers perform rapid stock executions based on external inputs, such as the price of related securities. Common strategies implemented by program trading involve an attempt to engage in arbitrage and portfolio insurance strategies. The trader Paul Tudor Jones predicted and profited from the crash, attributing it to portfolio insurance derivatives which were "an ...