A reexamination of portfolio insurance: The use of index put options
A study reexamines the mechanics of portfolio insurance when index put options are used. Conventional portfolio insurance is considered where one seeks to insure a minimum (floor) value of a portfolio over a finite horizon. The feasibility, cost, limitation, and implementation of such insurance stra...
Gespeichert in:
| Veröffentlicht in: | The journal of futures markets 1996-04, Vol.16 (2), p.163-188 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 188 |
|---|---|
| container_issue | 2 |
| container_start_page | 163 |
| container_title | The journal of futures markets |
| container_volume | 16 |
| creator | Tian, Yisong |
| description | A study reexamines the mechanics of portfolio insurance when index put options are used. Conventional portfolio insurance is considered where one seeks to insure a minimum (floor) value of a portfolio over a finite horizon. The feasibility, cost, limitation, and implementation of such insurance strategies are examined. It is found that these strategies are not as restrictive as previously thought. In fact, a wide range of listed put contracts on the S&P 100 and S&P 500 traded on the CBOE may satisfy portfolio insurance needs for a wide variety of portfolios. Many of these put contracts are deep out of the money and are thus relatively inexpensive. With the introduction of the FLEX options by the CBOE, portfolio managers can, in principle, design the index options they need for portfolio insurance. The model developed can help them to design the most appropriate contract terms such as strike price and contract size. Finally, the insurance strategies are empirically tested using monthly data series on S&P 500 put option during the period January 1988 to December 1993. |
| doi_str_mv | 10.1002/(SICI)1096-9934(199604)16:2<163::AID-FUT3>3.0.CO;2-I |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38905375</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>38905375</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4933-16a8d845d4d0209a5eb25194126f566b7c2997e5a0dce6f9504d206c2c174b463</originalsourceid><addsrcrecordid>eNqFkW9r2zAQxsVYYVm372A2GO0LZ6c_lqOsDIKztoaywJausDeHYsvMnWN5ks3Sb1-rKS2sGwNxQnfP_RDPQ8gJhSkFYO-PvuZZfkxByVgpLo6oUhLEMZVzdkIln88X-TI-vVzzj3wK02z1gcX5MzJ5WHhOJsBSiFNOxQvy0vtrAFBKwIQsF5EzZqe3dav72raRraLOur6yTW2juvWD021h5tH6h4kGb8K8bkuzi7qhj2wXdvwrclDpxpvX9_chuTz9tM7O44vVWZ4tLuJCKM5jKvWsnImkFCUwUDoxG5ZQJSiTVSLlJi2YUqlJNJSFkZVKQJQMZMEKmoqNkPyQvNtzO2d_Dcb3uK19YZpGt8YOHvlMQcLTZBS--UN4bQfXjn9DRul4Zmmgvf2XaJynVCWUBtV6ryqc9d6ZCjtXb7W7QQoY0kEM6WAwG4PZuE8HqUQ2Fo44poMhHeQImK3Gdv6I_V035uYJ8z_IvxDv3iM23mNr35vdA1a7nyjT0Rm8-nyGcnl1zr5_E_iF3wKUba4j</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1877195116</pqid></control><display><type>article</type><title>A reexamination of portfolio insurance: The use of index put options</title><source>Wiley Online Library - AutoHoldings Journals</source><source>Periodicals Index Online</source><source>EBSCOhost Business Source Complete</source><creator>Tian, Yisong</creator><creatorcontrib>Tian, Yisong</creatorcontrib><description>A study reexamines the mechanics of portfolio insurance when index put options are used. Conventional portfolio insurance is considered where one seeks to insure a minimum (floor) value of a portfolio over a finite horizon. The feasibility, cost, limitation, and implementation of such insurance strategies are examined. It is found that these strategies are not as restrictive as previously thought. In fact, a wide range of listed put contracts on the S&P 100 and S&P 500 traded on the CBOE may satisfy portfolio insurance needs for a wide variety of portfolios. Many of these put contracts are deep out of the money and are thus relatively inexpensive. With the introduction of the FLEX options by the CBOE, portfolio managers can, in principle, design the index options they need for portfolio insurance. The model developed can help them to design the most appropriate contract terms such as strike price and contract size. Finally, the insurance strategies are empirically tested using monthly data series on S&P 500 put option during the period January 1988 to December 1993.</description><identifier>ISSN: 0270-7314</identifier><identifier>EISSN: 1096-9934</identifier><identifier>DOI: 10.1002/(SICI)1096-9934(199604)16:2<163::AID-FUT3>3.0.CO;2-I</identifier><identifier>CODEN: JFMADT</identifier><language>eng</language><publisher>New York: Wiley Subscription Services, Inc., A Wiley Company</publisher><subject>Economic models ; Portfolio management ; Price index ; Put & call options ; Risk management ; Studies ; Trade</subject><ispartof>The journal of futures markets, 1996-04, Vol.16 (2), p.163-188</ispartof><rights>Copyright © 1996 John Wiley & Sons, Inc.</rights><rights>Copyright Wiley Periodicals Inc. Apr 1996</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c4933-16a8d845d4d0209a5eb25194126f566b7c2997e5a0dce6f9504d206c2c174b463</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1002%2F%28SICI%291096-9934%28199604%2916%3A2%3C163%3A%3AAID-FUT3%3E3.0.CO%3B2-I$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1002%2F%28SICI%291096-9934%28199604%2916%3A2%3C163%3A%3AAID-FUT3%3E3.0.CO%3B2-I$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,776,780,1411,27848,27903,27904,45553,45554</link.rule.ids></links><search><creatorcontrib>Tian, Yisong</creatorcontrib><title>A reexamination of portfolio insurance: The use of index put options</title><title>The journal of futures markets</title><addtitle>J. Fut. Mark</addtitle><description>A study reexamines the mechanics of portfolio insurance when index put options are used. Conventional portfolio insurance is considered where one seeks to insure a minimum (floor) value of a portfolio over a finite horizon. The feasibility, cost, limitation, and implementation of such insurance strategies are examined. It is found that these strategies are not as restrictive as previously thought. In fact, a wide range of listed put contracts on the S&P 100 and S&P 500 traded on the CBOE may satisfy portfolio insurance needs for a wide variety of portfolios. Many of these put contracts are deep out of the money and are thus relatively inexpensive. With the introduction of the FLEX options by the CBOE, portfolio managers can, in principle, design the index options they need for portfolio insurance. The model developed can help them to design the most appropriate contract terms such as strike price and contract size. Finally, the insurance strategies are empirically tested using monthly data series on S&P 500 put option during the period January 1988 to December 1993.</description><subject>Economic models</subject><subject>Portfolio management</subject><subject>Price index</subject><subject>Put & call options</subject><subject>Risk management</subject><subject>Studies</subject><subject>Trade</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1996</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNqFkW9r2zAQxsVYYVm372A2GO0LZ6c_lqOsDIKztoaywJausDeHYsvMnWN5ks3Sb1-rKS2sGwNxQnfP_RDPQ8gJhSkFYO-PvuZZfkxByVgpLo6oUhLEMZVzdkIln88X-TI-vVzzj3wK02z1gcX5MzJ5WHhOJsBSiFNOxQvy0vtrAFBKwIQsF5EzZqe3dav72raRraLOur6yTW2juvWD021h5tH6h4kGb8K8bkuzi7qhj2wXdvwrclDpxpvX9_chuTz9tM7O44vVWZ4tLuJCKM5jKvWsnImkFCUwUDoxG5ZQJSiTVSLlJi2YUqlJNJSFkZVKQJQMZMEKmoqNkPyQvNtzO2d_Dcb3uK19YZpGt8YOHvlMQcLTZBS--UN4bQfXjn9DRul4Zmmgvf2XaJynVCWUBtV6ryqc9d6ZCjtXb7W7QQoY0kEM6WAwG4PZuE8HqUQ2Fo44poMhHeQImK3Gdv6I_V035uYJ8z_IvxDv3iM23mNr35vdA1a7nyjT0Rm8-nyGcnl1zr5_E_iF3wKUba4j</recordid><startdate>199604</startdate><enddate>199604</enddate><creator>Tian, Yisong</creator><general>Wiley Subscription Services, Inc., A Wiley Company</general><general>Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>JQCIK</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>199604</creationdate><title>A reexamination of portfolio insurance: The use of index put options</title><author>Tian, Yisong</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4933-16a8d845d4d0209a5eb25194126f566b7c2997e5a0dce6f9504d206c2c174b463</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1996</creationdate><topic>Economic models</topic><topic>Portfolio management</topic><topic>Price index</topic><topic>Put & call options</topic><topic>Risk management</topic><topic>Studies</topic><topic>Trade</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Tian, Yisong</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 33</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Tian, Yisong</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A reexamination of portfolio insurance: The use of index put options</atitle><jtitle>The journal of futures markets</jtitle><addtitle>J. Fut. Mark</addtitle><date>1996-04</date><risdate>1996</risdate><volume>16</volume><issue>2</issue><spage>163</spage><epage>188</epage><pages>163-188</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><coden>JFMADT</coden><abstract>A study reexamines the mechanics of portfolio insurance when index put options are used. Conventional portfolio insurance is considered where one seeks to insure a minimum (floor) value of a portfolio over a finite horizon. The feasibility, cost, limitation, and implementation of such insurance strategies are examined. It is found that these strategies are not as restrictive as previously thought. In fact, a wide range of listed put contracts on the S&P 100 and S&P 500 traded on the CBOE may satisfy portfolio insurance needs for a wide variety of portfolios. Many of these put contracts are deep out of the money and are thus relatively inexpensive. With the introduction of the FLEX options by the CBOE, portfolio managers can, in principle, design the index options they need for portfolio insurance. The model developed can help them to design the most appropriate contract terms such as strike price and contract size. Finally, the insurance strategies are empirically tested using monthly data series on S&P 500 put option during the period January 1988 to December 1993.</abstract><cop>New York</cop><pub>Wiley Subscription Services, Inc., A Wiley Company</pub><doi>10.1002/(SICI)1096-9934(199604)16:2<163::AID-FUT3>3.0.CO;2-I</doi><tpages>26</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0270-7314 |
| ispartof | The journal of futures markets, 1996-04, Vol.16 (2), p.163-188 |
| issn | 0270-7314 1096-9934 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38905375 |
| source | Wiley Online Library - AutoHoldings Journals; Periodicals Index Online; EBSCOhost Business Source Complete |
| subjects | Economic models Portfolio management Price index Put & call options Risk management Studies Trade |
| title | A reexamination of portfolio insurance: The use of index put options |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-26T13%3A42%3A48IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20reexamination%20of%20portfolio%20insurance:%20The%20use%20of%20index%20put%20options&rft.jtitle=The%20journal%20of%20futures%20markets&rft.au=Tian,%20Yisong&rft.date=1996-04&rft.volume=16&rft.issue=2&rft.spage=163&rft.epage=188&rft.pages=163-188&rft.issn=0270-7314&rft.eissn=1096-9934&rft.coden=JFMADT&rft_id=info:doi/10.1002/(SICI)1096-9934(199604)16:2%3C163::AID-FUT3%3E3.0.CO;2-I&rft_dat=%3Cproquest_cross%3E38905375%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1877195116&rft_id=info:pmid/&rfr_iscdi=true |