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Document Details : Title: Risk Allocation in Capital Markets Subtitle: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies Author(s): CHEVALLIER, Eric , MULLER, Heinz H. Journal: ASTIN Bulletin Volume: 24 Issue: 1 Date: May 1994 Pages: 5-18 DOI: 10.2143/AST.24.1.2005077 Abstract : The theory of risk exchange is applied on the allocation of financial risk in capital markets. It is shown how the shape of individual payoff functions depends on risk tolerance and cautiousness. For the special case where the Neumann-Morgenstern utility functions of all individual investors belong to the HARA class and have non decreasing risk tolerance it is proved that generalized versions of "portfolio insurance", "tactical asset allocation" and "collars" are the only strategies occurring in price equilibrium. |
