An Analysis of Performance of Portfolio Insurance under the Black&Scholes
碩士 === 逢甲大學 === 應用數學學系 === 103 === The investment performance of an option-based portfolio insurance strategy is compared with a buy-and-hold strategy under the Black and Scholes framework. By using stochastic dominance or almost stochastic dominance rules, it is difficult to find that the portfolio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34890884058006039387 |