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Portfolio Insurance and Financial Market Equilibrium

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  • Brennan, Michael J
  • Schwartz, Eduardo S
Abstract
This article compares a capital market in which prices are set by a single expected utility maximizing investor with a market in which the expected utility maximizing investor owns only a part of the wealth, the balance being held by an investor who follows a portfolio insurance strategy. Comparative values for the market risk premium, the cost of insurance, the market volatility, and the level of interest rates are computed for different levels of portfolio insurance. Copyright 1989 by the University of Chicago.

Suggested Citation

  • Brennan, Michael J & Schwartz, Eduardo S, 1989. "Portfolio Insurance and Financial Market Equilibrium," The Journal of Business, University of Chicago Press, vol. 62(4), pages 455-472, October.
    • Handle: RePEc:ucp:jnlbus:v:62:y:1989:i:4:p:455-72
    DOI: 10.1086/296472
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