Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (Q5222157)
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scientific article; zbMATH DE number 7184190
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts |
scientific article; zbMATH DE number 7184190 |
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Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (English)
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1 April 2020
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nonconcave utility maximization
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value-at-risk
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optimal portfolio
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portfolio insurance
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risk management
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