Year
1994
Authors
CHARLETY-LEPERS Patricia, PORTAIT Roland
Abstract
The use of derivatives for portfolio insurance influences both the volatility (variation around the equilibrium price) and the stability (sharp fall or rise of the equilibrium price) of financial markets. In the light of recent analyses, this article shows that the imperfection of information plays a crucial role.
CHARLETY-LEPERS, P. et PORTAIT, R. (1994). L’impact des stratégies d’assurance de portefeuille sur la volatilité et la stabilité des marchés financiers. Bulletin mensuel COB, pp. 73-83.