The Impact of Large Portfolio Insurers on Asset Prices
构建模型说明，风险规避交易者市场中存在投资组合保险机构会导致资产定价多重均衡，并可能加剧波动甚至引发保险导致的下跌；但集中化的保险机构反而可能降低波动。
ABSTRACT We develop a simple model in which the presence of portfolio insurers in a market of risk‐averse traders leads to multiple equilibria for the pricing of financial assets and can cause an increase in volatility, including insurance‐induced price drops. We demonstrate, however, that centralized portfolio insurance firms may actually reduce, not increase, volatility, even if the existence of these firms increases the total amount of funds under insurance.