Equilibrium Analysis of Portfolio Insurance
用鞅方法刻画了存在投资组合保险时的一般均衡，发现投资组合保险会提高价格波动、导致收益均值回归、提升坏状态下的夏普比率和波动率，并解释为何虚值标普500看跌期权的波动率高于实值期权。
A martingale approach is used to characterize general equilibrium in the presence of portfolio insurance. Insurers sell to non-insurers in bad states, and general equilibrium requires that the risk premium rises to induce non-insurers 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.