  In this paper we take a look at a simple portfolio insurance strategy using a
protective put and computationally derive the investor's governing utility
structures underlying such a strategy under alternative market scenarios.
Investor utility is deemed to increase with an increase in the excess equity
generated by the portfolio insurance strategy over a simple investment strategy
without any insurance. Three alternative market scenarios (probability spaces)
have been explored -- 'Down', 'Neutral' and 'Up', categorized according to
whether the price of the underlying security is most likely to go down, stay
unchanged or go up. The methodology used is computational, primarily based on
simulation and numerical extrapolation. The Arrow-Pratt measure of risk
aversion has been used to determine how the investors react towards risk under
the different scenarios.
