Document Type

Conference Proceeding

Publication Date



The recent market crash which has led to as much as a 47% drop in the value of the S&P500 index has made some of us wonder if there is a cost effective way for us to hedge our retirement portfolios against such a drastic loss. Our objective is to investigate empirically the tradeoffs that will arise from using a protective put strategy for hedging retirement portfolios over an investment horizon that is long enough to be comparable to the average holding period for retirement portfolios


Paper presented at The Association on Employment Practices and Principles (AEPP) Eighteenth Annual International Conference 29 September – October 1, 2010, University of San Francisco, San Francisco, CA