Constant proportion portfolio insurance under a regime switching exponential Lévy process
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Publication:2443230
DOI10.1016/j.insmatheco.2013.03.001zbMath1284.91276OpenAlexW3122988691MaRDI QIDQ2443230
Publication date: 4 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.001
regime switchingmatrix exponentialgap riskexponential Lévy processshortfallconstant proportion portfolio insurance
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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