On the economic risk capital of portfolio insurance (Q1777685)
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scientific article; zbMATH DE number 2171585
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the economic risk capital of portfolio insurance |
scientific article; zbMATH DE number 2171585 |
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On the economic risk capital of portfolio insurance (English)
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25 May 2005
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Summary: A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
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