Time‐Invariant Portfolio Insurance Strategies
刻画了时不变投资组合保险策略的完整类别，并推导出相应的价值函数，说明这些策略对应于广泛投资组合保险收益函数的长期策略。
ABSTRACT This paper characterizes the complete class of time‐invariant portfolio insurance strategies and derives the corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio. Time‐invariant strategies are shown to correspond to the long‐run policies for a broad class of portfolio insurance payoff functions.