Neutrosophical Computational Exploration of Investor Utilities Underlying a Portfolio Insurance Strategy
Mohd Khoshnevisan, Florentín Smarandache, Sukanto Bhattacharya · viXra · 2016
In this paper we take a look at a simple portfolio insurance strategy using a protective put and computationally derive the investor’s governing utility structures underlying such a strategy under alternative market scenarios. Investor utility is deemed to increase with an increase in the excess equity generated by the portfolio insurance strategy over a simple investment strategy without any insurance.