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Jacklin et al., 1992 - Google Patents

Underestimation of portfolio insurance and the crash of October 1987

Jacklin et al., 1992

Document ID
17450569742613731049
Author
Jacklin C
Kleidon A
Pfeiderer P
Publication year
Publication venue
The Review of Financial Studies

External Links

Snippet

We examine market crashes in the multiperiod framework of. Our analysis shows that if the market's prior beliefs underestimate the extent of dynamic bedging strategies such as portfolio insurance, then the price will be greater than that which would be implied by …
Continue reading at academic.oup.com (other versions)

Classifications

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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