PORTFOLIO INSURANCE AND FINANCIAL MARKET EQUILIBRIUM

被引：56

作者：

BRENNAN, MJ

SCHWARTZ, ES

机构：

来源：

JOURNAL OF BUSINESS | 1989年 / 62卷 / 04期

关键词：

D O I：

10.1086/296472

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：455 / 472

页数：18

共 16 条

[1] OPTIMAL PORTFOLIO INSURANCE [J].

BRENAN, MJ ;

SOLANKI, R .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (03) :279-300

[2] PRICING OF EQUITY-LINKED LIFE-INSURANCE POLICIES WITH AN ASSET VALUE GUARANTEE [J].

BRENNAN, MJ ;

SCHWARTZ, ES .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) :195-213

[3] A SIMPLE ECONOMETRIC-APPROACH FOR UTILITY-BASED ASSET PRICING-MODELS [J].

BROWN, DP ;

GIBBONS, MR .

JOURNAL OF FINANCE, 1985, 40 (02) :359-381

[4] INTERTEMPORAL ASSET PRICING WITH HETEROGENEOUS CONSUMERS AND WITHOUT DEMAND AGGREGATION [J].

CONSTANTINIDES, GM .

JOURNAL OF BUSINESS, 1982, 55 (02) :253-267

[5] IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES [J].

DUFFIE, D ;

HUANG, CF .

ECONOMETRICA, 1985, 53 (06) :1337-1356

[6]

FERSON W, 1982, THESIS STANFORD U

[7]

FRIEND I, 1975, AM ECON REV, V65, P900

[8]

GROSSMAN SJ, 1981, AM ECON REV, V71, P222

[9]

GROSSMAN SJ, 1987, 82 PRINC U FIN RES C

[10] STOCHASTIC CONSUMPTION, RISK-AVERSION, AND THE TEMPORAL BEHAVIOR OF ASSET RETURNS [J].

HANSEN, LP ;

SINGLETON, KJ .

JOURNAL OF POLITICAL ECONOMY, 1983, 91 (02) :249-265

← 1 2 →