Equilibrium Analysis of Portfolio Insurance
用鞅方法刻画存在投资组合保险时的市场一般均衡，发现保险者会在市场不好时向非保险者卖出资产，导致风险溢价上升，并增加价格波动、引起均值回归、提高夏普比率和波动率，同时解释为何虚值标普500看跌期权的波动率高于实值期权。
ABSTRACT A martingale approach is used to characterize general equilibrium in the presence of portfolio insurance. Insurers sell to noninsurers in bad states, and general equilibrium requires that the risk premium rises to induce noninsurers to increase their holdings. We show that portfolio insurance increases price volatility, causes mean reversion in asset returns, raises the Sharpe ratio and volatility in bad states, and causes volatility to be correlated with volume. We also explain why out‐of‐the‐money S&P 500 put options trade at a higher volatility than do in‐the‐money puts.