We analyze the joint convergence of sequences of discounted stock prices and Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general...

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy. It is proved that such a choice for the trading strategy, when perfect hedging of contingent claims...

We examine portfolio asset management under safety constraints that control the probability that the portfolio return falls under a given reference level. We extend previous results of Roy (1952) and Kataoka (1963) that have been proved in a one-period setting to both multiperiod discrete-time...

We compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI), when the volatility of the stock index is stochastic. In this framework, we provide a quite general formula for the...

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called quot;Constant Proportion Portfolio Insurancequot; (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method...

We compare performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI). First we examine basic properties of these two strategies and compare them by means of various criteria: comparison of...

This paper examines some properties of optimal portfolio positioning that are linked with the risk aversion and the prudence of the investor. It introduces the ratio of the degree of absolute prudence on the absolute risk aversion. This one allows the analysis of the degree of...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets and allows some participation in rising markets. Therefore, these properties prove the importance of such portfolio strategies. The two standard...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial capital. This limits downside risk in falling markets. Besides, it allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

Does Islamic finance constitute a promising solution for the current global financial crisis and are Islamic financial innovations enough to reassure investors, stabilize financial systems and provide them with a means of escaping from financial downturns? This article addresses these questions...