Optimal asset allocation for participating contracts under the VaR and PI constraint (Q5217902)
From MaRDI portal
scientific article; zbMATH DE number 7174571
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal asset allocation for participating contracts under the VaR and PI constraint |
scientific article; zbMATH DE number 7174571 |
Statements
Optimal asset allocation for participating contracts under the VaR and PI constraint (English)
0 references
26 February 2020
0 references
participating contract
0 references
value-at-risk
0 references
portfolio insurance
0 references
Lagrange dual method
0 references
concavification
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
