RT Journal Article SR Electronic T1 Quantifying Unique Individual Portfolio Insurance
Premiums JF The Journal of Wealth Management FD Institutional Investor Journals SP 72 OP 81 DO 10.3905/jwm.2012.15.1.072 VO 15 IS 1 A1 Brian Boscaljon YR 2012 UL https://pm-research.com/content/15/1/72.abstract AB This article defines a model that identifies specific insurance premiums for unique individual portfolio protection against a pre-determined level of volatility. Individuals approaching retirement age are assumed to reach a satiation level of wealth sufficient to optimize their desire for future consumption and leisure time. A utility model is defined based on individuals’ unique preferences with respect to consumption and leisure time. The certainty-equivalent framework is then applied to this time-utility model to calculate specific insurance premiums for risk-averse investors.TOPICS: Portfolio construction, risk management