Portfolio Insurance and October 19th

  title={Portfolio Insurance and October 19th},
  author={H. Leland.},
  journal={California Management Review},
  pages={80 - 89}
  • H. Leland.
  • Published 1988
  • Economics
  • California Management Review
Portfolio insurance is a hedging technique that allows the maximum exposure to highreturn assets while providing reasonable assurance that a prespecified minimum return will be achieved. While it is true that the chaotic market conditions of October 19th made portfolio insurance more costly than normal, it still provided substantial protection. Portfolio insurance did not significantly contribute to the decline of stock prices on October 19th, rather the magnitude of the market fall was due to… Expand


Portfolio Insurance and the Market Crash
An Equilibrium Model of the Crash
  • F. Black
  • Economics
  • NBER Macroeconomics Annual
  • 1988
Gennotte, "On the Stock Market Crash and Portfolio Insurance," Finance working
  • 1988
Stock Index Futures Commentary," Financial Futures Department
  • Kidder Peabody & Co., April
  • 1988
Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence,
  • National Bureau of Economic Research Working Paper No
  • 1987
350 contracts of the S&P 500 Index Futures, representing a value of about $350 million. Regulations currently under review limited the extent of information dissemination of these trades
    Formally, most portfolio insurance programs attempt to replicate a (long-term) put option. For further specifics, see
    • Financial Analysts Journal
    On the Stock Market Crash and Portfolio Insurance
      Results reported by Terry Marsh to the Berkeley Program in Finance