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MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING - MaRDI portal

MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING (Q5398353)

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scientific article; zbMATH DE number 6262179
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English
MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
scientific article; zbMATH DE number 6262179

    Statements

    title
    MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING (English)
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    author
    Andreas Tsanakas
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    Mario V. Wüthrich
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    Aleš Černý
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    publication date
    27 February 2014
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    zbMATH Keywords
    market value margin
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    mean-variance hedging
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    market consistent valuation
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    cost-of-capital
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    Solvency II
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    91G50
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    zbMATH DE Number
    6262179
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    OpenAlex ID
    W3124838202
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    DOI
    10.1017/ASB.2013.18
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