Put Option Portfolio Insurance vs. Asset Allocation

10.6293/AQAFA.2009.07.11

Ken Johnston；John Hatem

Portfolio insurance ； Investments ； Options

Advances in Quantitative Analysis of Finance and Accounting

7期（2009 / 06 / 01）

253 - 279

英文

The purpose of this study is to develop a model that uses index put options to replace fixed income securities in an individual investor's portfolio. Such a portfolio would allow the investor to reduce downside risk, consistent with the rationale for the fixed income allocation, while also allowing the investor to participate to a greater degree, in any potential gains from a market upturn. Results indicate that in order for the model to be superior to a stock/bond portfolio, substantial movement in stock returns is necessary. Implications of results are discussed.

1. Asness, C. S.(1996).Why not 100% equities.Journal of Portfolio Management,22(2),29-34.
2. Black, F.(1976).Studies of stock price volatility changes.Proceedings of the 1976 Meetings of the Business and Economics Statistics Section,Alexandria:
3. Black, F.,Scholes, M.(1973).The pricing of options and corporate liabilities.Journal of Political Economy,81(3),637-659.
4. Blake, D.,Lehmann, B. N.,Timmermann, A.(1999).Asset allocation dynamics and pension fund performance.Journal of Business,72(4),429- 461.
5. Blume, M.,Benninga, S.(1985).On the optimality of portfolio insurance.Journal of Finance,40(5),1341-1352.
6. Bollen, N. P. B.,Busse, J. A.(2001).On the timing ability of mutual fund managers.The Journal of Finance,56(3),1075-1094.
7. Brennan, M. J.,Xia, Y.(2002).Dynamic asset allocation under inflation.The Journal of Finance,57(3),1201-1238.
8. Brinson, G. P.,Hood, L. R.,Beebower, G. L.(1986).Determinants of portfolio performance.Financial Analysts Journal,42(4),39-44.
9. Campbell, J. Y.,Chan,Y. L.,Viceira, L. M.(2003).A multivariate model of strategic asset allocation.Journal of Financial Economics,67(1),41-80.
10. Campbell, J. Y.,Viceira, L. M.(2002).Strategic asset allocation: Portfolio choice for the Long-term investor.New York:Oxford University Press.
11. Daniel, K.,Grinblatt, M.,Titman, S.,Wermers, R.(1997).Measuring mutual fund performance with characteristic-based benchmarks.The Journal of Finance,52(3),1035-1058.
12. Daryanani, G.(2008).Opportunistic rebalancing: A new paradigm for wealth managers.Journal of Financial Planning,48-61.
13. Dellva, W. L.,DeMaskey, A. L.,Smith, C. A.(2001).Selectivity and market timing performance of fidelity sector mutual funds.The Financial Review,36(1),39-54.
14. Doran, J. S.,Ronn, E. I.(2005).The bias in black-scholes/black implied volatility: An analysis of equity and energy markets.Review of Derivatives Research,8(3),177-198.
15. Fortune, P.(1993).Stock market crashes: What have we learned from October 1987.New England Economic Review,March,3-24.
16. Fortune, P.(1995).Stocks, bonds, options, futures, and portfolio insurance: A rose by any other name.New England Economic Review,July,25-46.
17. Goetzmann, W. N.,Ingersoll, J. E., Jr.,Ivkovic, Z.(1998).Monthly measures of daily timers.Journal of Financial and Quantitative Analysis,14,257-290.
18. Graham, J. R.,Harvey, C. R.(1997).Grading the performance of markettiming news letters.Financial Analysts Journal,53,393-416.
19. Leibowitz, M. L.,Kogelman, S.(1991).Asset allocation under shortfall constraints.Journal of Portfolio Management,18-23.
20. Leland, H. E.(1980).Who should buy portfolio insurance?.The Journal of Finance,35(2),581-594.
21. Pozen, R. C.(1978).The purchase of protective puts by financial institutions.Financial Analysts Journal,34(4),47-60.
22. Samuelson, P. A.(1994).The long-term case for equities.The Journal of Portfolio Management,15-24.
23. Siegel, J. J.(1994).Stocks for the long run.New York:Irwin Professional Publishing.
24. Tian, Y.(1996).A reexamination of portfolio insurance: The use of index put options.The Journal of Futures Market,12(2),163-188.