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Equilibrium of financial derivative markets under portfolio insurance constraints

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  • Bertrand, Philippe
  • Prigent, Jean-luc
Abstract
This paper examines the equilibrium of financial portfolios under insurance constraints on terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their wealth at maturity. Three main classes of financial assets are considered: a riskless asset (usually the bond), a risky asset (the stock) and European options of all strikes (corresponding to financial derivatives). Both partial and general optimal financial equilibria are determined and analyzed for quite general utility functions and insurance constraints.

Suggested Citation

  • Bertrand, Philippe & Prigent, Jean-luc, 2016. "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, vol. 52(PA), pages 278-291.
    • Handle: RePEc:eee:ecmode:v:52:y:2016:i:pa:p:278-291
    DOI: 10.1016/j.econmod.2014.10.009
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    2. Nie, Pu-yan & Wang, Chan & Chen, Zi-yue & Chen, You-hua, 2018. "A theoretic analysis of key person insurance," Economic Modelling, Elsevier, vol. 71(C), pages 272-278.

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