Portfolio Insurance: A Guide to Dynamic Hedging / Edition 1

Portfolio Insurance: A Guide to Dynamic Hedging / Edition 1

by Donald Luskin
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Portfolio Insurance: A Guide to Dynamic Hedging / Edition 1

Portfolio insurance has become a craze among institutional investors: over the past ten years, the value of assets managed under this strategy has grown from zero to more than -50 billion. This guide offers complete coverage and practical advice on every aspect of the subject. It clearly defines the characteristics of portfolio insurance, providing background on its history and the theory of hedging, going on to describe how to implement a hedging strategy, how to fit portfolio insurance into long-term financial planning, using index and financial futures and options in hedging, and techniques for measuring performance. Also included is a discussion of how portfolio insurance operates in the international arena.

Product Details

ISBN-13: 9780471858492
Publisher: Wiley
Publication date: 03/28/1988
Pages: 322
Product dimensions: 6.69(w) x 9.45(h) x 1.38(d)

Table of Contents


The Evolution of Portfolio Insurance (H. Leland & M. Rubinstein).

Alternative Paths to Portfolio Insurance (M. Rubinstein).

Patterns of Reward for Portfolio Insurance (R. Clarke & R. Arnott).


How to Beat the S&P 500 (Without Losing Sleep) (R. Ferguson).

Insuring International Portfolios (B. Pullman).

The Best-Return Strategy (O. Vasicek).


Structuring a Portfolio Insurance Program ( S. Somes).

The Many Dimensions of Risk (W. Wagner).

Stock Index and Financial Futures (L. Martin).

Listed Stock Index Options (S. Abramson, et al.).

Integrating Listed Stock Index Options (A. Harmstone-Rakowski & R. Saylor).

Estimating Volatility (J. Evnine).

The Insurance Company Guarantee (R. Tate).

Constant Horizon Portfolio Insurance (R. Clancy, et al.).


The Intellectual Origins of Portfolio Insurance (M. Granito).

Individual Investment and Consumption under Uncertainty (F. Black).

The Pricing of Options and Corporate Liabilities (F. Black & M. Scholes).

Option Pricing: A Simplified Approach (J. Cox, S. Ross & M. Rubenstein).

Who Should Buy Portfolio Insurance?

(H. Leland).

Replicating Options with Positions in Stocks and Cash (H. Leland & M. Rubinstein)

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