04135269

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04135269 Bird, Ron Cunningham, Ross Dennis, David Tippett, Mark Portfolio insurance: A simulation under different market conditions. Insur. Math. Econ. 9, No.1, 1-19 (1990). 1990 Elsevier Science Publishers B.V. (North-Holland), Amsterdam EN option path dependency returns portfolio insurance

doi:10.1016/0167-6687(90)90011-2

In recent years, considerable interest has arisen over the methods and effects of equity portfolio insurance. The present paper outlines a simple method for implementing portfolio insurance and then reports the results of Monte Carlo simulations based on recent experience in the Australian equities market.