                                                    689

. J. Brennan and R. Solanki, Optimal Portfolio Insurance, Journal of Financial and
Quantitative Analysis, 16, no. 3 (September 1981), pp. 279-300.

Ethan S. Etzioni, Rebalance Disciplines for Portfolio Insurance, Journal of Portfolio
Management, 13, no. 1 (Fall 1986), pp. 59-62.

Richard J. Rendelman, Jr., and Richard McEnally, Assessing the Costs of Portfolio
Insurance, Financial Analysts Journal, 43, no. 3 (May/June 1987), pp. 27-37.

. . Garcia and F. J. Gould, An Empirical Study of Portfolio Insurance, Financial
Analists Journal, 43, no. 4 (July/August 1987), pp. 4454.

Robert Ferguson, A Comparison of the Mean-Variance and Long-Term Return
Characteristics of Three Investment Strategies, Financial Analysts Journal, 43, no. 4 (July/
August 1987), pp. 55-66.

Fischer Black and Robert Jones, Simplifying Portfolio Insurance, Journal of Portfolio
Management, 14, no. 1 (Fall 1987), pp. 48-51.

Yu Zhu and Robert C. Kavee, Performance of Portfolio Insurance Strategies, Journal of
Portfolio Management, 14, no. 3 (Spring 1988), pp. 48-54.

Fischer Black and Robert Jones, Simplifying Portfolio Insurance for Corporate Pension
Plans, Journal of Portfolio Management, 14, no. 4 (Summer 1988), pp. 33-37.

Thomas J. O'Brien, How Option Replicating Portfolio Insurance Works: Expanded Details,
Monograph Series in Finance and Economics,  19884, New York University Salomon
Center, Leonard N. Stern School Business.

Erol Hakanoglu, Robert Koppraseh, and Emmanuel Roman, Constant Proportion Portfolio
Insurance for Fixed-Income Investment, Journal of Portfolio Management, 15, no. 4 (Summer
1989), pp. 58-66.

Michael J. Brennan and Eduardo Schwartz, Portfolio Insurance and Financial Market
Equilibrium, Journal of Business, 62, no. 4 (October 1989), pp. 455-472.

Sanford J. Grossman and Jean-Luc Vila, Portfolio Insurance in Complete Markets: A
Note, Journal of Business, 62, no. 4 (October 1989), pp. 473-476.
Robert R. Trippi and Richard B. Harriff, Dynamic Asset Allocation Rules: Survey and
Synthesis, Journal of Portfolio Management, 17, no. 4 (Summer 1991), pp. 19-26.

Charles J. Jacklin, Allan W. Kleidon, and Paul Pfleiderer, Underestimation of Portfolio
Insurance and the Crash of October 1987, Review of Financial Studies, 5, no. 1 (1992),
pp. 35-63.

10.0      .     -
  . :

Richard A. Brealey and Stewart . Myers, Principles of Corporate Finance (New York:

McGraw-Hill, 1991), Chapter 22.

11.         
   .      ,   
 ,        .  -
  :

Robert A. Jarrow and Andrew Rudd, Option Pricing (Homewood, 1L: Richard D. Irwin,

1983).

John C. Cox and Mark Rubinstein, Options Markets (Englewood Cliffs, NJ: Prentice Hall,

1985).

Richard M. Bookstaber, Option Pricing and Investment Strategies (Chicago: Probus Publishing,
1987).

Peter Ritchken, Options: Theory, Strategy, and Applications (Glenview, IL: Scott, Foresman,
1987).